Dissertation > Excellent graduate degree dissertation topics show

Stock Index Futures on the spot market Empirical Study

Author: XiaoZuo
Tutor: YueYiDing
School: Central South University
Course: Management Science and Engineering
Keywords: index futures volatility GARCH system risk
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 55
Quote: 0
Read: Download Dissertation

Abstract


Index futures,as the most important one,already began to traded in china financial futures exchange.Shanghai and Shenzhen 300 stock index futures,the only one of financial futures in our country,traded as the hedging tools for stock market to avoid system risk.Since the introduction of financial futures and option during the 1970s,the effect of financial derivatives trading on the underlying price volatility of spot markets has been of great interest to both academics and practitioners.By using the GARCH model added by a dummy variable,research the alteration during the period which is around the time of introduced of the stock index futures.We select two sample:S&P500 stock index as the mature markets of the developed countries, HS300 stock index as emerging markets.The main conclusion of this paper are as follows:stock index futures decrease the volatility of S&P500 but increase the volatility of HS300. On the basis of empirical results we draw the conclusion:the participant of index futures market is mainly composed of individual investors without the institutional investors,and the bond short selling mechanism is imperfect in spot market. In the end of the paper,we offer the suggestions based on the different influence of the stock index futures market to the stock market,we should continue to improve the spot market and strengthen the stock index futures market risk control.

Related Dissertations

  1. A Study about the Stock Index Future’s Influence on the Stock Market,F224
  2. The Study on Risk Evaluation of BOT Projects in China University,G647
  3. Shanghai and Shenzhen stock markets empirical research,F224
  4. Research on Support Vector Regression in Prediction of the Short-term Load of Power System,TM715;F224
  5. In the standard model based on VaR Equity Fund Risk Assessment Study,F224
  6. Price Volatility Risk Assessment and Comparison of China’s Commodity Futures,F224
  7. Comparison and Empirical Analysis of Value-at-Risk Prediction Models,F832.51
  8. Applied Research Based on GARCH-VaR Model in Our ETF Risk Measurement,F224
  9. An Analysis of Influential Factors on Gold Price Change,F832.54;F724.5
  10. Securities investment funds and stock market stability study,F224
  11. GREY-GARCH - based model of the Chinese stock market volume and price relationship,F224
  12. The Application Research to Risk Measurement of Index Futures,F224
  13. An Empirical Study on Risk Transmissions between Stock Index and Index Futures Markets in China,F832.51
  14. Application Research in Stock Selection and Optimization Strategies of Portfolio Investment,F830.91
  15. Company F IPD project management application of the implementation process,F426.6
  16. Research of Market Volatility Impact in GEM China with Price Limits Policy,F224
  17. Our open-end fund market risk measurement,F224
  18. Trait volatility on stock returns impact analysis,F224
  19. Internet sales of lottery Risk Early Warning System,F224.32
  20. Raised the deposit reserve ratio of the empirical analysis of the effect on the stock market,F832.51;F224

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile