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
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.

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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Volume Title
Proceedings of the 2016 International Forum on Management, Education and Information Technology Application
Series
Advances in Social Science, Education and Humanities Research
Publication Date
January 2016
ISBN
10.2991/ifmeita-16.2016.65
ISSN
2352-5398
DOI
10.2991/ifmeita-16.2016.65How to use a DOI?
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/).

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  - Proceedings of the 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  - 10.2991/ifmeita-16.2016.65
ID  - Hu2016/01
ER  -