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The Volatility Spillovers between Futures and Spot about the HS300Index

Author: HuGuangYuan
Tutor: HuangXiaoNing
School: Southwest University of Political Science
Course: National Economics
Keywords: mean spillover volatility Spillover VAR GARCH-BEKK
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Type: Master's thesis
Year: 2012
Downloads: 19
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Abstract


The relationship between Stock index futures and the stock market is a hot issueof capital market research. Numerous domestic and international scholars have madelarge deep and detailed researches on various kinds of market volatility spillover,discuss market price transmission, first-lag relationship, and a market fluctuation onanother, or how the oscillations of the fluctuations between market in the back andforth. revenue in one market will be affected not only by its own early revenue andearly fluctuations, may also by other markets’, the transmission of income andvolatility between the market called spillover effect.With China’s economic and financial development, the reform and the openingup, China’s stock market and stock index futures and derivatives markets areincreasingly linked. The most watched new field is China stock index futures and thestock market, because of stock index futures released until April2010, there are manyquestions to clear, so it is quite necessary to study the relationship between stockindex futures and the stock market.This paper is mainly aimed at the study on the mean spillover and volatilityspillover effect between stock index futures and spot market. Use the HS300indexpromulgated jointly by CFFEX and SZSE as the research object. First of all, thispaper discusses the relationship between first order matrix (mean) and second ordermatrix (volatility).The second chapter, reviewed the research domestic andinternational history of fluctuation spillover effect, analyzed the research trends andcharacteristics as a function of animals for later chapter of empirical studies. Chapter3, Expounds the mechanism of fluctuation spillover, explain the origin of fluctuation,features, transfer and diffusion modes with behavioral finance theory. By usingqualitative method to make the analysis fluctuation spillover, help to betterunderstand fluctuation spillover effect. Chapter4, analyzes the development of the model for the measurement of the research situation of the volatility spillover effect.Chapter5, is the key of this article, effect empirical analysis and inspection on themean and volatility spillover effect between Stock index futures and spot market. Thispart, using VAR equation and the GARCH-BEKK models based on VAR equationdepicting spillover effects between the futures market and stock market by their timesequences, finally come to related conclusions.In the last chapter6of this paper, on the basis of the empirical analysisconclusion puts forward relevant policy Suggestions On China’s stock index futures,as well as the prospects of the study on spillover effect.

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