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2016•Unpublished venueOpen access

The Impact of Stock Index Futures on Spot Market Volatility

Yao Yao

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Abstract

This paper studies the influence of stock index futures transactions on spot market volatility.Based on a modified GARCH model with a dummy variable, with a sample of daily data of CSI 300 index from 2005 to 2015, the empirical study examined the impact of CSI 300 index futures on the stock market volatility.The result indicates that after the launch of the CSI 300 index futures, the stock market volatility increased in the past five years.Policy measures such as improvement of both spot and futures market are necessary to contain the risks.

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This paper studies the influence of stock index futures transactions on spot market volatility.Based on a modified GARCH model with a dummy variable, with a sample of daily data of CSI 300 index from 2005 to 2015, the empirical study examined the impact of CSI 300 index futures on the stock market volatility.The result indicates that after the launch of the CSI 300 index futures, the stock market volatility increased in the past five years.Policy measures such as improvement of both spot and futures market are necessary to contain the risks.

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Available abstract

This paper studies the influence of stock index futures transactions on spot market volatility.Based on a modified GARCH model with a dummy variable, with a sample of daily data of CSI 300 index from 2005 to 2015, the empirical study examined the impact of CSI 300 index futures on the stock market volatility.The result indicates that after the launch of the CSI 300 index futures, the stock market volatility increased in the past five years.Policy measures such as improvement of both spot and futures market are necessary to contain the risks.

Key concepts: Volatility (finance), Futures contract, Spot market, Futures market, Spot contract, Stock market index, Financial economics, Stock market volatility

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