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Comparative Analysis of the A-share Market Volatility on Domestic and Foreign Stock Index Future

Author: GuoJing
Tutor: ZuoYanYang
School: Hunan University
Course: Finance
Keywords: Stock index futures Off-site stock index futures Stock marketvolatility Profit rate of the rates of change
CLC: F224
Type: Master's thesis
Year: 2012
Downloads: 77
Quote: 0
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Abstract


After20years of development, China’s stock market has matured and theintroduction of stock index futures has come into being. As a financial innovation,stock index futures got favored by the majority of investors for its unique mechanismof short, low transaction costs and high mobility features, which plays a positive rolein promoting the development of the stock market and helping improving the depthand breadth of the market. Would stock index futures be the spot market impact,leading to the volatility of the stock index, or could it guide the price changes of thespot market, ironing out market fluctuations, stabilizing financial markets. It caused awide range of community interest. On the condition of financial globalization, theUnited States, Singapore, Hong Kong and other countries and regions, also introduceda variety of stock index futures for China’s stock market. What kind of impact onChina’s stock spot market volatility can the introduction of the index futures ofdifferent regions for China’s stock market bring will be the main content of this paper.This paper using the empirical analysis studied stock market volatility of thelaunching of stock index futures from two perspectives——the domestic and off-site,based on a large number of documents, research results. This study can deepen ourunderstanding of the introduction of stock index futures on the spot market, trying toprovide a reference for the establishment of a financial and a sound financial systemand the safeguard of the financial security and the rapid development of China’sfinancial markets.First in the paper, whether the launch of stock index futures can increase spotmarket volatility,and results of the research in different regions of the introduction ofstock index futures of the national impact were discussed. Followed by twotheoretical models, using mathematical analysis methods to prove, under thecondition that stock index futures on the spot market price volatility in stock indexfutures market and spot market can function properly. Based on data of stock indexfutures and A-shares stock trading market and their corresponding time, an empiricalanalysis using the GARCH model, drew the impact of launch of local and off-sitestock index futures on China’s A-share market stock volatility Finally, the ability todistinguish between local and off-site stock index futures influencing the spot marketwas analyzed, and drew the conclusion that the launch of off-site stock index had agreater impact on A-share stock market.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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