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The Effects of Introduction of Stock Index Futures on Stock Market

Author: XuPeiHua
Tutor: FengShuMin
School: Dongbei University of Finance
Course: Statistics
Keywords: Stock index Stock index futures Cointegration model GARCH / TARCH / EGARCH
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 360
Quote: 0
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Abstract

April 16, 2010, China launched the first stock index futures contracts - CSI 300 stock index futures, this is a milestone in China's securities market. Stock Index Futures (Stock Index Futures), referred to as stock index futures, as the subject matter to the stock index futures contracts. It is based on the stock market, stock price index futures for trading in the subject matter, is entered into by the parties to the transaction, agreed to a specific time in the future according to the agreed price when the transaction a standardized contracts for stock index trading. Since February 24, 1982, launched the world since the first stock index futures contracts, stock index futures for its unique charm and successful operation rapidly by many countries of the world and acceptance and development, become the most widely used financial futures a. Stock index futures markets of the major developed countries in the West after 20 years of development has been very mature, stock index futures play an important role in stabilizing the spot market. China's stock index futures just launched soon in the system, the legal system is not perfect, and the urgent need to launch of stock index futures study and absorb the lessons of mature and emerging markets in the development of stock index futures, for our provide reference for the development of stock index futures. In this paper, a method of combining qualitative analysis and mathematical analysis to study the impact of the introduction of the three regions of Hong Kong, Taiwan and mainland China stock index futures spot market. The determination of the research object, Hong Kong, Taiwan and mainland China is closely related to the economic, cultural commonality, therefore combine these three stock market research. Contrast to the findings of the three regions, the similarities and differences between the three can be found, the conclusions on the basis of analyzing the similarities and differences is more targeted and persuasive. On the processing of the data in the study, which is only a short period of three months due to the introduction of stock index futures in China, can be used to the analysis of real trading too little data, so this article with the CSI 300 index futures data instead of real transaction data study . The introduction of index futures on the stock market research from two aspects: first to study the long-term equilibrium relationship between the introduction of stock index futures, stock index futures and stock index;, research stock index futures after the stock market volatility changes. For the first question, the stock index futures the sequence and stock index sequence cointegration model and error correction model to achieve; For the second question is to establish the GARCH through two phases before and after the introduction of stock index futures TARCH and EGARCH model. The study indicates that, stock index futures, stock index of the three regions of Hong Kong, Taiwan, mainland China has a long-term positive relationship, when the stock index deviation from the long-run equilibrium, the long-run equilibrium trend will be a non-equilibrium state to adjust back to equilibrium; the coefficient of the error correction term given this readjustment size, the results show that the Hang Seng Index to deviate from the return to equilibrium in the long-run equilibrium, the fastest, while the CSI 300 Index return of balanced slowest. Study the introduction of stock index futures on the volatility of the stock market, the first adding dummy variables GARCH (1,1) model, the results show that the launch of the Hang Seng Index futures to reduce the volatility of the spot market, Taiwan larger after the introduction of stock index futures and index futures and the Chinese mainland stock market volatility. Further analysis on the stock market of Taiwan, mainland China, believe that the enhancement of China's stock market volatility is not due to carry out the simulation trading of stock index futures; enhancement of the Taiwan stock market volatility is due to the introduction of stock index futures, but this fluctuation of the performance of short-term fluctuations , and is enhanced due to increased volatility due to the asymmetric effect. Asymmetric effect on the spot market launch of stock index futures research, introduced the concept of asymmetric ratio to characterize the changes in the asymmetric effect, requiring asymmetric ratio is the ratio of the impact of the impact of bad news and good news. Hong Kong, Taiwan and mainland China stocks on the spot market of the three regions to establish TARCH, EGARCH model, have concluded unanimously that the introduction of stock index futures will increase asymmetric effect of stocks on the spot market.

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