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

Author

Wu, Yongxing

Author_Institution

Sch. of Finance, Yunnan Univ. of Financial & Econ., Kunming, China

Volume

3

fYear

2011

fDate

26-27 Nov. 2011

Firstpage

26

Lastpage

29

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.

Keywords

autoregressive processes; commodity trading; ARCH effect; Chinese stock index futures; Shanghai stock index; Shenzhen 300 stock index; autoregressive conditional heteroskedasticity; stock market fluctuation; Equations; Fluctuations; Indexes; Mathematical model; Publishing; Share prices; Stock markets; Empirical research; Fluctuation; Stock index futures; Stock market;

fLanguage

English

Publisher

ieee

Conference_Titel

Information Management, Innovation Management and Industrial Engineering (ICIII), 2011 International Conference on

Conference_Location

Shenzhen

Print_ISBN

978-1-61284-450-3

Type

conf

DOI

10.1109/ICIII.2011.292

Filename

6114698