Proceedings of the 2023 2nd International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2023)

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Research on the stabilizing effect of stock index futures on A-share market in China-- From the perspective of Shanghai A-share abnormal volatility

Authors
Si Pan1, *, Qianqian Zhou1, Congcong Wang2
1Wuhan Polytechnic, Wuhan, China
2Shangwan Hongyuan securities, Wenzhou, China
*Corresponding author. Email: 360539623@qq.com
Corresponding Author
Si Pan
Available Online 10 October 2023.
DOI
10.2991/978-94-6463-268-2_38How to use a DOI?
Keywords
Stock Index Futures; Stability Effect; GARCH Model; Virtual Variable
Abstract

In addition to having the function of price discovery and hedging, stock index futures have attracted wide attention from scholars, due to its special systemic risk avoidance mechanism. China’s stock index futures were launched in a short time, with the Shanghai and Shenzhen 300 index futures as a typical representative. This paper is based on data samples of the daily closing price of the IF300 index futures and The Shanghai Composite Index from 16 April 2010 to 17 October 2019.Used The GARCH model and the virtual variable regression model, it analyze the negative feedback effect of the IF300 index on the abnormal fluctuation of A-shares in the Shanghai Composite market. The research shows the IF300 index futures are highly correlated to the Shanghai Composite index, and the price has convergence, in the normal market. Under the abnormal situation of the Shanghai A-share market, the IF300 index futures have a relatively significant negative feedback effect, and it can play a role in stabilizing the Shanghai A-share stock market.

Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2023 2nd International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
10 October 2023
ISBN
978-94-6463-268-2
ISSN
2352-5428
DOI
10.2991/978-94-6463-268-2_38How to use a DOI?
Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Si Pan
AU  - Qianqian Zhou
AU  - Congcong Wang
PY  - 2023
DA  - 2023/10/10
TI  - Research on the stabilizing effect of stock index futures on A-share market in China-- From the perspective of Shanghai A-share abnormal volatility
BT  - Proceedings of the 2023 2nd International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2023)
PB  - Atlantis Press
SP  - 348
EP  - 357
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-268-2_38
DO  - 10.2991/978-94-6463-268-2_38
ID  - Pan2023
ER  -