The Accumulation of Index Futures Basis Risk and Its Information Transmission Effect

DOI

10.2991/hsmet-17.2017.206How to use a DOI?

Keywords

stock index futures, volatility spillover, information transmission, self-exciting process

Abstract

Exploring the role of basis risk in the volatility spillover process of stock index futures has great significance to improving the trading mechanism and enhances the cross market risk management. By analyzing the basis risk clustering process with self-exciting process and discuss the relationship between basis risk and relative indexes with Granger causality tests, we explored the behavior characteristics of the basis risk in China's stock index futures market. The results show that there is a significant self-exciting process between CSI 300 future's basis risk clustering events. The clustered basis risk has significant impacts on the volatility of CSI 300, but its impacts on relative indexes are varied. The clustering of basis risk may not have the ability to cause an overall shock to the market.

Copyright

© 2017, 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  - Yuan Li
AU  - Yanjun Xiang
PY  - 2017/02
DA  - 2017/02
TI  - The Accumulation of Index Futures Basis Risk and Its Information Transmission Effect
BT  - Proceedings of the 2017 International Conference on Humanities Science, Management and Education Technology (HSMET 2017)
PB  - Atlantis Press
SP  - 1115
EP  - 1120
SN  - 2352-5398
UR  - https://doi.org/10.2991/hsmet-17.2017.206
DO  - 10.2991/hsmet-17.2017.206
ID  - Li2017/02
ER  -