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A Study about the Index Future’s Influences on the Stock Market

Author: JiaYaTong
Tutor: TangShaoXin
School: Shandong University
Course: Finance
Keywords: Stock index futures ARMA model GARCH model
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 707
Quote: 7
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Abstract


The stock index futures is an important derivative financial instruments, and has a huge range of applications and influence in the world's financial markets. Overall, the world's major types of derivative financial instruments, including futures, options, forward contracts and swaps. As the three financial futures (foreign exchange rate futures, interest rate futures (1972) (1975), stock index futures (1982)), one, the advent of stock index futures is the latest, but after less than 30 years of development, stock index futures become a global financial derivatives is a very mature and important financial products, regardless of the size of the transaction or transactions variety are ahead of other financial derivatives. Volatility as the financial markets, one of the most important features of the research has been a hot topic in the financial field. In general, the introduction of stock index futures is conducive to circumvent the spot market system risk, help to reduce the volatility of the spot market, but the stock market crash of the U.S. stock market in October 1987 so that people's trust in the stock index futures is almost all gone in the blink of an eye without memory, and so on stock index futures on the volatility of the spot market to become a hot topic in recent years, academia. In April 2010, China finally at the China Financial Futures Exchange launched the CSI 300 index futures products, the introduction of the simulation stock index futures trading has been 4 years from the 2006. But this is only the first step of China's stock index futures, building a Long March only, because the scope of participation of the launch of stock index futures for now, has not been given clear rules, in particular the participation of institutions, specific participation restrictions more, while products are also relatively small. Resulting in the simulation trading four years before slowly introduced the actual trading of stock index futures, as well as the main launch of stock index futures, stock index futures market can not carry out large-scale, is now on the market for the introduction of stock index futures for the volatility of the spot market the impact there is no single, definitive conclusions. This article is used as a starting point, based on modern financial theory and doctrine, stock index futures and the spot market price relations theory from the start, using a combination of qualitative analysis and empirical analysis between stock index futures and the basis of spot-depth description the impact of the volatility. Then in empirical research paper selected the same background on behalf of the emerging countries and China stock index in Mumbai, India SENSEX index, as well as in the Asia-Pacific region is relatively mature, Osaka, Japan, the Nikkei 225 index of the sample before and after the introduction of futures data were established ARMA, GARCH model, the introduction of stock index futures, stock market information transmission efficiency through vertical comparison analysis. GARCH model to be amended to reflect the degree of change before and after the listing of the stock index futures market price fluctuations by introducing a dummy variable ω. Finally, we come to: the reason will affect the volatility of the stock index stock index futures in the short term, because of improved spot market stock index futures market information reflects the mode, but in the long term and will not affect the volatility of the spot market index. Inspiration on the basis of the empirical results, we should speed up the construction of China's stock index futures based on control speculative risk: At present, China has been the introduction of stock index futures based on, to make it better to play actively on the spot market role.

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