Study on Effects of CSI 300 Stock Index Futures on Chinese Stock Market Volatility
Available Online January 2016.
- https://doi.org/10.2991/ifmeita-16.2016.65How to use a DOI?
- CSI 300 Stock Index Futures, Volatility, GARCH model, TARCH model
- 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.
- 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 -