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The Empirical Study of the Influence of Stock Index Futures on China’s Stock Market

Author: WangZuo
Tutor: LiPengLin
School: Xi'an University of Science and Technology
Course: Industrial Economics
Keywords: Shanghai-Shenzhen 300 Stock Index Futures Stock Market ARMA ARCH GARCH
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 189
Quote: 2
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Abstract


This paper put the HS300 stock index futures as the research object, which based on the study results from abroad as well as on the development and related theory of the stock index futures, using qualitative and quantitative methods. Firstly, state extensively the development background of stock index futures in our country and in the world, present the concept of it, including features、functions and the difference between it and stock. Then present the content of HS300 stock index futures contracts before the qualitative analysis of the effect of it on the stock market, making the comparative analysis of the fluctuations between them, and also making the comparative analysis of the fluctuations of stock market that before and after the HS300 stock index futures that appear to the market. In the theory analysis part, pay much attention to the BJ method of which is one method of time series analysis, study the ARMA, including the identification、parameter estimation、and test, then study the ARCH that often be used to analyze the financial time series, including GARCH. The important part for this paper is the quantitative research of the effect of HS300 stock index futures on stock market, the descriptive statistics of HS300 stock index futures’daily return ratio state that the sequence is not the normal distribution, then making the ADF test and Autocorrelation test, based on the ARCH test, fix the ARMA of HS300 stock index futures’daily return ratio, then fix the GARCH of it. After the parameter estimation and ARCH test of GARCH, proving the volatility effect of the stock index futures on our stock market. At last, proposing measures and suggestions which response the risk of stock index futures in our country.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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