The Impact of Stock Index Futures on Spot Market Volatility
Available Online March 2016.
- https://doi.org/10.2991/icesame-16.2016.264How to use a DOI?
- Stock Index Futures; CSI 300 Index; Market Volatility; ARCH Model
- 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.
- 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 -