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Research on the Influences of the Launch of Stock Index Futures on Stock Correlation

Author: JiangLeBing
Tutor: JinFaQi
School: Central South University
Course: Finance
Keywords: stock index futures correlation systematic risk DCC-GARCH
Type: Master's thesis
Year: 2012
Downloads: 18
Quote: 0
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An earthshaking change has taken place in Chinese capital market since the early1990s. After Shanghai and Shenzhen Stock Exchange were established, the capital market has made great progress by applying a series of financial reforms and innovation measures. One of the important measures is Hushen300index future established in April,2010. With the functions of avoiding risk, price discovery, optimizing allocation of resources and so on, stock index futures makes Chinese Capital Markets structure more advanced, and brings investors richer investment products and more multiplied investment strategies. The launch of stock index futures played a huge pushing role in building multilevel and mature Capital Markets. However, for its particularity in trade, stock index futures is of high controversial all around world. In that way, can it bring the expected effect to Chinese Capital Markets at this stage? And, what’s the influence on the Stock Markets?Stock correlation, usually presented by correlation coefficient, is the correlation among two or more groups of asset prices or returns in a period of time, which has a strong influence on market risk and portfolio construction. Generally, the higher correlation between stocks, the higher systematic risk exists in market, and the efficiency of portfolio is worse. Stock correlation high or low is the performance of the nation Capital Markets mature or not. With the increasing improvement on Capital Markets, stock correlation will has a gradually falling process. Establishing stock index futures is a significant step to build Chinese Capital Markets, but what impact will it have on stock correlation? With the questions above, this paper studies the influence on stock markets of stock index futures in terms of the correlation relation between stock index futures and stock.In this paper, the launch of Chinese stock index futures is regarded as a gradual process, and according to some event time point, the whole process is divided into three parts, then, the dissertation studies the impact on stock correlation of index establishment and the formal launch of stock index futures, respectively. The findings shows that, both the establishment of Hushen300index and the launch of Hushen300stock index futures improve the correlation between stocks, and the launch of Hushen300stock index futures also enhances the correlation between Shanghai and Shenzhen markets. What’s more, after studying the event of adjusting Hushen300index, this paper found the existence of index effect. Finally, this paper sums up the implementation effect of stock index futures in Chinese Capital Markets at this stage, proposes policy suggestions for improving institutional system of Chinese stock index futures and reducing the correlation of stock markets, and provides inspiration for the follow-up researches.

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