Proceedings of the 2016 International Conference on Education, Sports, Arts and Management Engineering

The Impact of Stock Index Futures on Spot Market Volatility

Authors
Yao Yao
Corresponding Author
Yao Yao
Available Online March 2016.
DOI
https://doi.org/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.
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Proceedings
2016 International Conference on Education, Sports, Arts and Management Engineering
Part of series
Advances in Social Science, Education and Humanities Research
Publication Date
March 2016
ISBN
978-94-6252-167-4
ISSN
2352-5398
DOI
https://doi.org/10.2991/icesame-16.2016.264How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Yao Yao
PY  - 2016/03
DA  - 2016/03
TI  - The Impact of Stock Index Futures on Spot Market Volatility
BT  - 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  - https://doi.org/10.2991/icesame-16.2016.264
ID  - Yao2016/03
ER  -