Study on the Influence of the Stock Index Futures Regulation Policy on the Volatility of Stock Spot Market A Co-integration Analysis Based on the Structure Mutation of CSI 300

DOI

10.2991/icoeme-19.2019.34How to use a DOI?

Keywords

stock index futures; structural mutation; policy regulation; volatility

Abstract

Based on CSI 300 index and CSI 300 stock index futures data, this paper analyzes the long-term and short-term equilibrium relationship by using the co-integration theory and the error correction model. Emphasis is placed on the analysis of the impact of regulatory policies on this equilibrium relationship. The empirical results show that: First, there is a long-term equilibrium relationship between China's CSI 300 stock index futures market and the corresponding spot market, and stock index futures have a strong ability to guide the spot market. Secondly, policy regulation has a significant impact on the discovery function and guiding ability of stock index futures price. The regulation not only affects the long-run elasticity of futures market to spot market, but also influences the basis of its price guiding function. Thirdly, policy regulation also has a significant impact on the co-integration mechanism of stock index futures and spot market. In the non-regulated state, stock index futures have a strong ability to guide the spot market, but this kind of guiding force changes stagnantly after the regulation.

Copyright

© 2019, 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  - Yongqiang Huang
AU  - Xiangyu Ge
PY  - 2019/06
DA  - 2019/06
TI  - Study on the Influence of the Stock Index Futures Regulation Policy on the Volatility of Stock Spot Market A Co-integration Analysis Based on the Structure Mutation of CSI 300
BT  - Proceedings of the 2nd International Conference on Economy, Management and Entrepreneurship (ICOEME 2019)
PB  - Atlantis Press
SP  - 162
EP  - 168
SN  - 2352-5428
UR  - https://doi.org/10.2991/icoeme-19.2019.34
DO  - 10.2991/icoeme-19.2019.34
ID  - Huang2019/06
ER  -