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The Empirical Study of Relationship between Stock Index Futures Market and Spot Market Based on H Share and FTSE Xinhua A50 Index

Author: LiuLeiLei
Tutor: FuHao
School: Southwest Jiaotong University
Course: Quantitative Economics
Keywords: Stock index futures Volatility Price discovery Information transfer Long-run equilibrium
CLC: F724.5;F224
Type: Master's thesis
Year: 2007
Downloads: 236
Quote: 2
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Abstract


Stock index futures as one of the most important financial derivatives, occupies an important position in the world's financial markets. Especially in recent years in a number of emerging markets have introduced stock index futures, the relationship of stock index futures and spot markets has become a hot research topic. Based on this, the emerging markets index futures as the research object relations examine the futures and spot markets. This paper studied from the point of view of the transmission of information volatility of stock index futures trading on the spot market, the spot market and futures market price discovery function as well as between the two markets, the long-term stable relationship. China's A-share market is yet to launch stock index futures, but the Hong Kong market in close contact with the A-share market, H-shares Index Futures; Singapore in September 2006 launch of the A-share index of the underlying asset FXI A50 Index Futures. This article AH share two stock index futures, while the introduction of the A-share market index and HS300 index throughout the study with the A-share market is closely linked to research data provide a foundation for our development of the A-share stock index futures. Study of stock index futures on the volatility of the spot market, the GARCH model to characterize the volatility of financial time series to reflect the impact of index futures on the volatility of the spot market by introducing virtual. From the study concluded: (1) the volatility of the of H stock index futures trading on the spot market have a significant impact, and reduce stock market volatility, and play a role to stabilize the stock market volatility, which indicates that making information better the H stock index futures trading passed to the spot market. (2) The FTSE Xinhua A50 index futures to some extent increase the price volatility of the spot market; but no significant impact on the volatility of the CSI 300 Index. Discovery function in the the study spot market and futures market price discovery function as well as between the two markets in the long-term stable relationship, this paper uses impulse response and variance decomposition to study the prices of the two markets, the use of index futures and index spot cointegration test to investigate between the existence of a long-term stable equilibrium relationship. The results show that: (3) the futures market \Price discovery function of the futures market is stronger than the spot market, the futures market has more market pricing. (4) H-share index futures, H-share stock index and stock index AH shares among long-term stable equilibrium relationship; the A50 index futures, FTSE Xinhua A50 Index Spot and among the CSI 300 Index there are long-term stable equilibrium relationship. Full isolated Finally, the status quo for the A-share index futures trading in different places in Singapore, as well as A-shares and H-shares the status of the transaction point. The above study, China is about to launch stock index futures strategy selection countermeasures, expect to play a role in the development of China's stock index futures.

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