The Impact of Stock Index Futures on Spot Market Volatility

DOI

10.2991/icesame-16.2016.264How to use a DOI?

Keywords

Stock Index Futures; CSI 300 Index; Market Volatility; ARCH Model

Abstract

This paper studies the influence of stock index futures transactions on spot market volatility. Based on a modified GARCH model with a dummy variable, with a sample of daily data of CSI 300 index from 2005 to 2015, the empirical study examined the impact of CSI 300 index futures on the stock market volatility. The result indicates that after the launch of the CSI 300 index futures, the stock market volatility increased in the past five years. Policy measures such as improvement of both spot and futures market are necessary to contain the risks.

Copyright

© 2016, 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  - Yao Yao
PY  - 2016/03
DA  - 2016/03
TI  - The Impact of Stock Index Futures on Spot Market Volatility
BT  - Proceedings of the 2016 International Conference on Education, Sports, Arts and Management Engineering
PB  - Atlantis Press
SP  - 1244
EP  - 1247
SN  - 2352-5398
UR  - https://doi.org/10.2991/icesame-16.2016.264
DO  - 10.2991/icesame-16.2016.264
ID  - Yao2016/03
ER  -