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Stock Index Futures and Market Volatility

Author: ChenZuo
Tutor: LiXinDan
School: Nanjing University
Course: Management Science and Engineering
Keywords: Stock Index Futures Information Volatility Fluctuated Spillovers
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 231
Quote: 1
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Abstract


Since April 16,2010, Shanghai Shenzhen 300 index(CSI 300) futures has been developed rapidly. So far it has been one of the world’s most active contracts, and the one only after KOSPI 200 index contract of Korea in Asia. With the rapid growth in CSI 300 futures trading volume, the investors and regulators have became more and more concerned about whether it stabilize or destabilize underlying spot prices."China’s stock index futures is the stabilizer of A-share market or the speculators’slot machine? "On the occasion of the stock index futures listed on the first anniversary, with the real daily transaction data on Shanghai Shenzhen 300 index futures, we systematically studied the impact of stock index futures on the volatility of spot markets. From an empirical view, we answer the following three questions.First, whether the introduction of Shanghai Shenzhen 300 index futures has impact on the volatility of spot markets. Second, does the impact of the trading activity (including volume and open interest) of Shanghai and Shenzhen 300 index futures on the volatility of spot markets exist. Third, how about the price discovery ability and the spillover effect between stock index futures and the underlying spot index.We find that:(1) After the introduction of stock index futures, three main spot index of A-share market which is CSI 300, the Shanghai Composite index and the Shenzhen Component Index were less volatile, the difference is statistically but not economically. (2) The information efficiency of CSI 300 and the Shanghai Composite Index has been significantly improved after the introduction of stock index futures. The impact of old information on the volatility of spot market dropped significantly, while the response to new information is faster. However, we did not find the evidence to support the information efficiency of the Shenzhen Component Index changed significantly. (3) We partition each trading activity series (trading volume and open interest) into expected and unexpected components, and document that equity volatility is negatively related to forecastable futures-trading activity after controlling the impact of new information. (4) CSI 300 futures prices guide the spot price in the short term, and become more active in correcting the disequilibrium between the two in the long term. (5) There is a significant volatility spillover effect between CSI 300 futures and the underlying stock index, and the effect is symmetric.

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