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The Empirical Study of the Effects of Stock Index Futures in China on Spot Market Volatility

Author: ZhangHui
Tutor: HeGuoSheng
School: Liaoning University
Course: Finance
Keywords: HS300 stock index futures SSE Composite Index Volatility Empirical analysis GARCH model
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 177
Quote: 1
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Abstract


Following the introduction of Kansas City Value Line Index Future (KCVLIF) in February 24,1982,The United States become the world’s first stock-index futures country. Later, countries launched their own stock index futures. stock index futures market has become the indispensable part of financial markets of one country.April 16, 2010, as we are looking forward, HS300 stock index futures which has great significance on Chinese capital market launched. HS300 stock index has been running nearly a year, during one year, it brings what impact on the Chinese stock market volatility, whether HS300 stock index futures are running their own order, How to coordinate the relationships between the futures market and spot market and so on. These are becoming hot issues conferences and the object of study.Using GARCH model,this paper studies the effect that the HS300 stock index futures acted on the fluctuations of SSE Composite Index’s day returns. Finally,it gets the conclusion that HS300 stock index futures increased the volatility of China spot stock market.It is important to emphasize that because the time of China stock-index futures exists is short,therefore, the analysis of this article only applies to short term.The long-term impact of inspection that HS300 stock index futures act on the volatility of China spot stock market is still need the examinations of the whole market.

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