The Impact of the Introduction of Stock Index Futures on the CSI 300 Index Fluctuation

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/).

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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  -