DocumentCode :
2802454
Title :
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
Link To Document :
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