Dissertation > Excellent graduate degree dissertation topics show
China's stock index futures listing on the underlying jump rate index return effect
Author: XingXueFei
Tutor: ZhangZongXin
School: Fudan University
Course: Finance
Keywords: stock Index Future CSI300Index Volatility Jump
CLC: F832.5
Type: Master's thesis
Year: 2012
Downloads: 55
Quote: 0
Read: Download Dissertation
Abstract
As the first derivatives (Standardization) of ChinaCSI300Stock Index Futures was listed; the single direction of China’s capital for nearly20years came to an end. CSI300Stock Index Futures listed on April16,2010has been running well for two years. The correlation of spot and future is greater than99%; the daily trading volume lie between2000billion and3000billion RMB. With the intensification of the global financial market volatility, return on assets to largescale changes in the frequency is getting higher and higher, the yield leptokurtic characteristics become more obvious. Domestic and foreign scholars are very concerned about the impact of the introduction of stock index futures to spot market volatility. This will not only affect characteristics of the spot market volatility, but also for the China Financial Futures Exchange launched new futures (e.g. bond futures, currency futures) to provide experience.Based on the research results of experts and scholars for foreign developed markets and emerging markets, taking into account the rate of return of assets for largescale changes in frequency, we used an improved GARJI model to conduct am empirical study for the underlying index of China’s CSI300Stock Index Futures. In this model, changing in the rate of return on assets is mainly divided into two parts: the GARCH part which results from the flat general market information, the jump part which caused by the signification or unusual information. Then, we introduced a dummy variable into the model.We find some empirical results:(1) China’s CSI300Index has the phenomenon of the jump for the rate of return and the jump intensity is timevarying. From the parameter estimation, the jump intensity often gathered. That is to say, early high jump probability will make a higher jump probability for the next time.(2) As CSI300Stock Index Future contract was introduced, the asymmetric effect of jump mean from the good news and bad news weakened.(3) The introduction of futures reduces the probability of jump for the underlying asset, thus reducing the proportion of jump part; the impact for GARCH part is not significant.When the significant or abnormal information is involved in the capital market, stock index futures firstly reflected this information because the derivatives market have low transaction costs, high liquidity and high leverage. This reduces the impact for the stock underlying index from the significant or abnormal information.

Related Dissertations
 A Study about the Stock Index Future’s Influence on the Stock Market,F224
 The Practical Research on the Causes for Psychological Fear of High School Boys in the Support Jump Exercises and the Relevant Adjusting Solutions,G633.96
 The Pricing Theory of Stock Index Future and Empirical Research,F832.5
 The Calculation of Margin in Small Board of China,F832.5
 The Effect of Change of Hamstring and Quadriceps Femoris Strength of Knee on Continuous Vertical Jump,G804.2
 An Empirical Study on the Relationship between the China Stock Index Futures and Spot Markets,F224
 Stock Index Futures on the spot market Empirical Study,F224
 An Analysis of Influential Factors on Gold Price Change,F832.54;F724.5
 Securities investment funds and stock market stability study,F224
 An Empirical Study of the Volatility and Spillover Effects of China’s Stock Index Futures,F224
 The Study of Impactions of Investor Sentiments on Stock Returns and the Volatilities,F224
 Chinese institutional investor sentiment and market returns Empirical Study of the Relationship,F224
 Optimal Portfolio Selection for Containing Credit Risk Assets,F224
 Extension of CoxIngersollRoss Model and Its EulerMaruyama Method Approximation,F830
 The CIR Model with Jump and Delay,F830.91
 Pricing of Convertible Bond with Reset Clause under Stock Price Obeys Jump Diffusion,F830.91
 Application Research in Stock Selection and Optimization Strategies of Portfolio Investment,F830.91
 Research on Volatility Risk of International Tanker Freight Index Based on SV Models,F224
 The Study About the Securities Investment Funds’ Holding and Price,F224
 Pricing Discrete Doublebarrier Option under a Hyperexponential Jumpdiffusion Model,F830.9
 Analysis of Lookback Option in CEV Modified Model,F830.9
CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
© 2012 www.DissertationTopic.Net Mobile
