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The Study of Mutual Relationship between Stock Index Futures and Stock Market

Author: ZhangLin
Tutor: KeJinChuan
School: Beijing Jiaotong University
Course: Finance
Keywords: Stock index futures Volatility GARCH model Granger causality test
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 489
Quote: 0
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Abstract


After 20 years of development , the Chinese securities market , the whole market system is not perfect , increasing systemic risk can not be avoided , the market need for an effective hedging and investment tools to resist financial risks , to meet the needs of investors . So after the launch of China 's stock index futures , stock index futures business in China came into being , the running time of the year , have a certain impact on China 's stock market and impact . According to the Shanghai and Shenzhen 300 stock index futures launched one year after the data to study a series of reactions in the stock market , macroscopic and microscopic characteristics of the two markets run in order to get to the market managers , intermediaries and investors some reference value . Thesis CSI 300 stock index futures and stock markets in Shanghai and Shenzhen 300 Index as the research object , through empirical analysis using ADF test , ARCH-LM test model and GARCH model at the macro level analysis research CSI 300 stock index volatility terms of the characteristics and impact . Cointegration test , Granger causality test through empirical analysis tool to analyze the research found that the relationship between the characteristics of the stock index futures and stock index prices in the price ; at the micro level , the analysis of the amount of the price of the futures contract relations mobility characteristics. Volatility CSI 300 stock index futures on the Shanghai and Shenzhen 300 stock index caused short-term fluctuations ; guiding role for the trend of the stock market and the stock index futures , daily trading data , stock index futures change was significantly ahead of the spot index price changes ; found in the relationship between price and volume of stock index futures contracts , compared to more active trading of the near month contract and the far month contract , and the far month contract basis is significantly larger than the near month contract Basis . As can be seen from the above analysis , the characteristics of China 's stock index futures business with other countries with a high risk .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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