Proceedings of the 2016 International Forum on Management, Education and Information Technology Application

Study on Effects of CSI 300 Stock Index Futures on Chinese Stock Market Volatility

Authors
Yiwen Hu
Corresponding Author
Yiwen Hu
Available Online January 2016.
DOI
https://doi.org/10.2991/ifmeita-16.2016.65How to use a DOI?
Keywords
CSI 300 Stock Index Futures, Volatility, GARCH model, TARCH model
Abstract
At present, there is a growing concern on the effects of CSI 300 stock index futures on Chinese stock market volatility. This paper mainly studies the effects of introduction and price volatility of stock index futures on Chinese stock market volatility, which is based on the analysis of CSI 300 index. Based on the TARCH model, we find that the introduction of CSI 300 stock index futures reduce the asymmetric volatility of the stock market. Based on the GARCH model, we find that the price volatility of CSI 300 stock index futures have no significant effect on the volatility of the stock market.
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This is an open access article distributed under the CC BY-NC license.

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Proceedings
2016 International Forum on Management, Education and Information Technology Application
Part of series
Advances in Social Science, Education and Humanities Research
Publication Date
January 2016
ISBN
978-94-6252-166-7
ISSN
2352-5398
DOI
https://doi.org/10.2991/ifmeita-16.2016.65How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Yiwen Hu
PY  - 2016/01
DA  - 2016/01
TI  - Study on Effects of CSI 300 Stock Index Futures on Chinese Stock Market Volatility
BT  - 2016 International Forum on Management, Education and Information Technology Application
PB  - Atlantis Press
SP  - 344
EP  - 350
SN  - 2352-5398
UR  - https://doi.org/10.2991/ifmeita-16.2016.65
DO  - https://doi.org/10.2991/ifmeita-16.2016.65
ID  - Hu2016/01
ER  -