원문정보
초록
영어
With the development of financial derivatives market, stock index futures has been a powerful tool in discovering price and hedging. It’s critical whether stock index futures has significant effects on the volatility of the stock market. Based on the extensive literature review, we firstly estimate the daily volatility of the CSI 300 Index by realized bi-power variation. Then we use multiplicative error model to model the volatility of CSI 300 Index before and after CSI 300 index futures launched respectively. Then, we test whether the introduction of CSI 300 index futures have a significant impact on the volatility in stock market by using statistical methods. The research results show that the introduction of CSI 300 index futures reduces the volatility of CSI300 Stock Index apparently. As the representative of financial derivatives, CSI 300 index futures can effectively reduce the systemic risk of the stock market and it can also promote the maturity of China’s stock markets.
목차
1. Introduction
1.2. The Introduction of Stock Index Futures Reduces Stock Market Volatility
1.3. The Introduction of Stock Index Futures Has No Impact on the Volatility of Stock Markets
2. Realized Bi-Power Variation (RBV)
3. Multiplicative Error Model (MEM)
3.1. MEM
3.2. Estimation of MEM
4. Empirical Analysis
4.1. Data
4.2. Statistical Characteristics
4.3. Modeling RBV by MEM
4.4. The Change of Volatility of Chinese CSI 300 Index Before and After the Introduction of CSI 300 Index Futures
5. Conclusion
References