Empirical study of China Stock Index Futures' Impact on Shanghai and Shenzhen 300 Index Volatility

被引：0

作者：

Hou Yingchao ^{[1
]}

Ding Shaofang ^{[2
]}

Hou Peipei ^{[3
]}

机构：

[1] NCUT, Coll Econ & Management, Beijing 100041, Peoples R China

[2] Beijing Polytech, Beijing 100029, Peoples R China

[3] Xi An Jiao Tong Univ, Coll Foreign Languages, Xian 710049, Peoples R China

来源：

CONTEMPORARY INNOVATION AND DEVELOPMENT IN STATISTICAL SCIENCE | 2012年

关键词：

Stock index futures; Shanghai and Shenzhen 300 index; GARCH model;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

On April 16th, 2010, China launched the first stock index future targeted of Shanghai and Shenzhen 300 index. It is a very meaningful act to perfect our financial derivatives and promote the financial market. However, the academia and practice department still hold different opinions on whether the launch of the stock index futures will have a significant impact on the volatility of the targeted assets. The paper takes a volatility analysis before and after the introduction of the Shanghai and Shenzhen 300 index futures through GARCH model. The results shows that, while the introduction of the stock index futures has little effect on the stock market volatility, the investors can still, to a certain extent, make use of the new market information they convey.

引用

页码：423 / 426

页数：4

共 50 条

[1] The Research on Shanghai-Shenzhen 300 Stock Index's Volatility
Li Qunfeng
[J]. DATA PROCESSING AND QUANTITATIVE ECONOMY MODELING, 2010, : 136 - 139
[2] Consider the case of transaction costs on the Shanghai and Shenzhen 300 stock index futures to hedge Empirical Analysis
Peng, Hongfeng
Lu, Weijie
[J]. PROCEEDINGS OF CHINA-CANADA INDUSTRY WORKSHOP ON FINANCIAL ENGINEERING AND ENTERPRISE RISK MANAGEMENT 2009, 2009, : 219 - 222
[3] Study on the Volatility Stylize of Shanghai and Shenzhen 300 Index Using GARCH
Sun Manqiu
Liu Shancun
[J]. PROCEEDINGS OF THE 30TH CHINESE CONTROL AND DECISION CONFERENCE (2018 CCDC), 2018, : 3191 - 3195
[4] Jumps Behavior of CSI 300 Stock Index Futures: Empirical Study Based on Realized Volatility
Chen Sheng-li
Li Yi-jun
[J]. 2015 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING - 22ND ANNUAL CONFERENCE PROCEEDINGS, VOLS I AND II, 2015, : 1246 - 1255
[5] Study on Effects of CSI 300 Stock Index Futures on Chinese Stock Market Volatility
Hu, Yiwen
[J]. PROCEEDINGS OF THE 2016 INTERNATIONAL FORUM ON MANAGEMENT, EDUCATION AND INFORMATION TECHNOLOGY APPLICATION, 2016, 47 : 344 - 350
[6] An Impact of the Switzerland and the aCanada Stock Return Volatility in Mainland China Stock Market: Empirical Study of Shanghai and Shenzhen Markets
Chen, Ching-huei
Horng, Wann-jyi
Chang, Jui-chen
[J]. INTERNATIONAL CONFERENCE ON E-COMMERCE AND CONTEMPORARY ECONOMIC DEVELOPMENT (ECED 2014), 2014, : 1 - 7
[7] An Empirical Analysis of the Effects of the Stock Index Futures on the Spot Market Volatility of China
Che, Hui-Chun
Cao, Fang
[J]. PROCEEDINGS OF THE 2014 INTERNATIONAL CONFERENCE ON ECONOMIC MANAGEMENT AND TRADE COOPERATION, 2014, 107 : 249 - 254
[8] Study on the influence of stock index futures on the volatility of spot market Take the CHINA STOCK INDEX FUTURES 500 AS AN EXAMPLE
Zhuhaidan
[J]. 2019 INTERNATIONAL CONFERENCE ON ECONOMIC MANAGEMENT AND MODEL ENGINEERING (ICEMME 2019), 2019, : 385 - 388
[9] Minimal Spanning Tree for Shanghai-Shenzhen 300 Stock Index
Zhuang, Ruixin
Hu, Bin
Ye, Zhongxing
[J]. 2008 IEEE CONGRESS ON EVOLUTIONARY COMPUTATION, VOLS 1-8, 2008, : 1417 - +
[10] The Impact of Stock Index Futures on Spot Market Volatility
Yao, Yao
[J]. PROCEEDINGS OF THE 2016 INTERNATIONAL CONFERENCE ON EDUCATION, SPORTS, ARTS AND MANAGEMENT ENGINEERING, 2016, 54 : 1244 - 1247

← 1 2 3 4 5 →