An Empirical Analysis of the Effects of the Stock Index Futures on the Spot Market Volatility of China

DOI

10.2991/emtc-14.2014.43How to use a DOI?

Keywords

stock index futures, the spot market, volatility.

Abstract

The paper studies the effects of the stock index futures on the spot market volatility of China, through GARCH model, using HS300 stock index futures and the HS300 index as the research object. The empirical results show that the HS300 stock index futures has weakened the spot market volatility in spite of its very small; In addition, the introduction of HS300 stock index futures accelerate the transmission of the spot market information, showing that stock index future develop the function of price discovery.

Copyright

© 2014, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Che Hui-Chun
AU  - Cao Fang
PY  - 2014/04
DA  - 2014/04
TI  - An Empirical Analysis of the Effects of the Stock Index Futures on the Spot Market Volatility of China
BT  - Proceedings of the 2014 International Conference on Economic Management and Trade Cooperation
PB  - Atlantis Press
SP  - 249
EP  - 254
SN  - 1951-6851
UR  - https://doi.org/10.2991/emtc-14.2014.43
DO  - 10.2991/emtc-14.2014.43
ID  - Hui-Chun2014/04
ER  -