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2011•Unpublished venueRequires access

Empirical Research on the Fluctuation between Chinese Stock Index Futures and Stock Market

Yongxing Wu

Open publisher page 4 citations

Abstract

Based on the research into the case of the fluctuation of Shanghai and Shenzhen 300 stock index with the beginning of Chinese Stock Index Futures, the result shows that ARCH effect is visible existed in China stock market. "Asymmetry" and"Leveraged" are also existed. But the ARCH effect is weakened in evidence after the starting of stock index future. The result also shows that external factors impact on the stock market would be durable. And the trend is uneasy to change if it has been formed. Stock index futures has the stable ability to reduce the fluctuation of stock market.

About this research paper

What this paper is about

Based on the research into the case of the fluctuation of Shanghai and Shenzhen 300 stock index with the beginning of Chinese Stock Index Futures, the result shows that ARCH effect is visible existed in China stock market. "Asymmetry" and"Leveraged" are also existed. But the ARCH effect is weakened in evidence after the starting of stock index future. The result also shows that external factors impact on the stock market would be durable. And the trend is uneasy to change if it has been formed. Stock index futures has the stable ability to reduce the fluctuation of stock market.

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OpenAlex reports 4 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

Based on the research into the case of the fluctuation of Shanghai and Shenzhen 300 stock index with the beginning of Chinese Stock Index Futures, the result shows that ARCH effect is visible existed in China stock market. "Asymmetry" and"Leveraged" are also existed. But the ARCH effect is weakened in evidence after the starting of stock index future. The result also shows that external factors impact on the stock market would be durable. And the trend is uneasy to change if it has been formed. Stock index futures has the stable ability to reduce the fluctuation of stock market.

Key concepts: Stock market, Capitalization-weighted index, Stock market index, Stock market bubble, Stock (firearms), China, Stock exchange, Financial economics

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