The Impact of the Introduction of Stock Index Futures on the CSI 300 Index Fluctuation
Authors
Jing Ma, Huangjin Liu
Corresponding Author
Jing Ma
Available Online November 2016.
- DOI
- 10.2991/febm-16.2016.35How to use a DOI?
- Keywords
- stock index futures,CSI 300 index,fluctuation,GARCH model,TARCH model
- Abstract
In this paper,we study the influence of the introduction of stock Index futures on the spot stock market fluctuation by using the log daily returns of the CSI 300 index in 2005-2016. First, we do the empirical test for samples,and found that the sample is smooth and have the ARCH effect;Second, using GARCH model regression, we found that the introduction of stock index futures decreased index volatility;In the end ,we found that the volatility of the stock price caused by the bad news is larger than the same degree of fluctuations caused by the good news inTARCH model regression.
- 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/).
Cite this article
TY - CONF AU - Jing Ma AU - Huangjin Liu PY - 2016/11 DA - 2016/11 TI - The Impact of the Introduction of Stock Index Futures on the CSI 300 Index Fluctuation BT - Proceedings of the First International Conference Economic and Business Management 2016 PB - Atlantis Press SP - 222 EP - 228 SN - 2352-5428 UR - https://doi.org/10.2991/febm-16.2016.35 DO - 10.2991/febm-16.2016.35 ID - Ma2016/11 ER -