The Impact of Stock Index Futures on Spot Market Volatility

被引：0

作者：

Yao, Yao ^{[1
]}

机构：

[1] Hangzhou Normal Univ, Hangzhou Inst Serv Engn, Hangzhou 310012, Zhejiang, Peoples R China

来源：

PROCEEDINGS OF THE 2016 INTERNATIONAL CONFERENCE ON EDUCATION, SPORTS, ARTS AND MANAGEMENT ENGINEERING | 2016年 / 54卷

关键词：

Stock Index Futures; CSI; 300; Index; Market Volatility; ARCH Model; CHINA;

D O I：

暂无

中图分类号：

G40 [教育学];

学科分类号：

040101 ; 120403 ;

摘要：

This paper studies the influence of stock index futures transactions on spot market volatility. Based on a modified GARCH model with a dummy variable, with a sample of daily data of CSI 300 index from 2005 to 2015, the empirical study examined the impact of CSI 300 index futures on the stock market volatility. The result indicates that after the launch of the CSI 300 index futures, the stock market volatility increased in the past five years. Policy measures such as improvement of both spot and futures market are necessary to contain the risks.

引用

页码：1244 / 1247

页数：4

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