Analysis of the impact of stock index futures on index spot volatility during the sharp fluctuation of China’s stock market(PDF)
《长安大学学报（社科版）》[ISSN:1671-6248/CN:61-1391/C]
- Issue:
- 2017年02期
- Page:
- 64-71
- Research Field:
- 经济与管理
- Publishing date:
Info
- Title:
- Analysis of the impact of stock index futures on index spot volatility during the sharp fluctuation of China’s stock market
- Author(s):
- FANG Jian-wu; ZHU Li-wei
- School of International Business， Shaanxi Normal University, Xi’an 710100, Shaanxi, China
- Keywords:
- ; Stock index futures; index spot; risk transfer; short-selling mechanism; market volatility
- PACS:
- F830.91
- DOI:
- -
- Abstract:
- In view of the similarities and differences that short-selling mechanism and long mechanism of stock index futures affect the index spot, the sharp fluctuation of China’s stock market was divided into rising and falling periods from July 2014 to August 2015. Basis on the data of every 5 minutes of the CSI 300 stock index futures and the CSI 300 index spot, this paper analyzed the impact of stock index futures on index spot volatility during the sharp fluctuation by Garman & Klass volatility measurement formula, bivariate GARCH model and EGARCH model. The results show that there is a two-way price relationship between the stock index futures market and index spot market during the sharp fluctuation of the market, in which the index spot market is dominant with more significant risk transmission and the risks between the two markets are communicated with each other; in the bullish period of China’s stock market volatility, the negative return of stock index futures will promote the volatility of the index spot. In the bad stage, the negative impact of stock index futures is greater than the positive effect. The impact of short-selling mechanism of stock index futures on the spot market is greater than that of long mechanism; by the characteristics of inherent precedency over stock index, stock index futures exacerbate volatility when it should curb volatility, causing negative effects. China’s financial market should pay attention to its negative effects and take effective measures to strengthen the control of the negative impact.
Last Update: 2017-05-23