DocumentCode :
3465913
Title :
The Study on the Effect of Introducing Stock Index Futures on the Component Stocks of the Underlying Index
Author :
Meng, Hailiang ; Ren, Ruoen ; Zhu, Xuemei
Author_Institution :
Sch. of Econ. & Manage., Beihang Univ., Beijing
fYear :
2008
fDate :
12-14 Oct. 2008
Firstpage :
1
Lastpage :
4
Abstract :
In China, the Shanghai and Shenzhen 300 Index Futures (300IF) will be introduced soon. This article studies the effect of the introduction anticipation of the 300IF on the component stocks of the underlying index using the event research model and the factor analysis model. The conclusions are: (1) the introduction anticipation of the 300IF brings abnormal returns for its component stocks and the stock weight is greater, the abnormal return rate is higher; (2) the factors influencing the premium of the component stocks mainly include the weight of the component stocks and the return rate of the market index. These conclusions may provide some guidance for the investors and will bring beneficial reference for the government to introducing other financial derivative products in the future.
Keywords :
stock markets; China; Shanghai; Shenzhen 300 Index Futures; component stocks; event research model; factor analysis model; financial derivative products; stock index futures; Banking; Government; Instruments; Risk management; Security; Stock markets;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location :
Dalian
Print_ISBN :
978-1-4244-2107-7
Electronic_ISBN :
978-1-4244-2108-4
Type :
conf
DOI :
10.1109/WiCom.2008.2240
Filename :
4680429
Link To Document :
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