Title: Empirical Study on the Influence of Stock Index Futures on Stock Market Volatility in China
Abstract:Based on daily closing price of Shanghai-Shenzhen 300 Index from Nov.1st 2006 to Dec.27th 2010,this paper builds up the GARCH and EGARCH models in order to explore whether the stock index futures woul...Based on daily closing price of Shanghai-Shenzhen 300 Index from Nov.1st 2006 to Dec.27th 2010,this paper builds up the GARCH and EGARCH models in order to explore whether the stock index futures would impact the stock market volatility in China.The empirical analysis shows that the establishment of stock index futures in China decreases the volatility of spot price to some extent and plays a positive role on the healthy and stable development of the stock market.Read More
Publication Year: 2011
Publication Date: 2011-01-01
Language: en
Type: article
Access and Citation
Cited By Count: 1
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot