Analysis of the CSI300 Index Futures’ Influence on the Volatility of the Spot Market

DOI

10.2991/meic-14.2014.175How to use a DOI?

Keywords

CSI300 index futures; volatility; GARCH model; TARCH model; symmetry

Abstract

The successful launch of CSI 300 stock index futures on the market improve China's capital market, the operating efficiency of the market and provide investors a risk management tool which can hedge and arbitrage. The existing time of CSI 300 stock index futures is short, so the existing research is based on emulation trading for the study. This paper will use GARCH, TARCH model to describe the question in three parts: first, the review of CSI300 index futures emulation trading. Second, establish the GARCH model and compare the difference of volatility on the spot due to the launch of CSI 300 stock index futures; third, "leverage effect" of the influence is verified by TARCH model. The results show that due to the introduction of CSI300 stock index futures, volatility of stock spot return can be reduced, the persistence for market to absorb old information is enhanced; CSI300 index futures influencing the spot market of the price volatility have the ability of negative symmetry which means that bad news has a stronger infect than good news to yield volatility.

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  - Zhenyu Zhao
AU  - Yan Geng
PY  - 2014/11
DA  - 2014/11
TI  - Analysis of the CSI300 Index Futures’ Influence on the Volatility of the Spot Market
BT  - Proceedings of the 2014 International Conference on Mechatronics, Electronic, Industrial and Control Engineering
PB  - Atlantis Press
SP  - 784
EP  - 788
SN  - 2352-5401
UR  - https://doi.org/10.2991/meic-14.2014.175
DO  - 10.2991/meic-14.2014.175
ID  - Zhao2014/11
ER  -