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Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model
- Source :
- Expert Systems with Applications 160 (2020) 113688
- Publication Year :
- 2021
-
Abstract
- A TGARCH modeling is argued to be the optimal basis for investigating the impact of index futures trading on spot price variability. We discuss the CSI-300 index (China-Shanghai-Shenzhen-300-Stock Index) as a test case. The results prove that the introduction of CSI-300 index futures (CSI-300-IF) trading significantly reduces the volatility in the corresponding spot market. It is also found that there is a stationary equilibrium relationship between the CSI-300 spot and CCSI-300-IF markets. A bidirectional Granger causality is also detected. ''Finally'', it is deduced that spot prices are predicted with greater accuracy over a 3 or 4 lag day time span.<br />Comment: 31 pages, 10 tables, 2 figures, 109 references
- Subjects :
- Quantitative Finance - Statistical Finance
Quantitative Finance - General Finance
Subjects
Details
- Database :
- arXiv
- Journal :
- Expert Systems with Applications 160 (2020) 113688
- Publication Type :
- Report
- Accession number :
- edsarx.2109.15060
- Document Type :
- Working Paper
- Full Text :
- https://doi.org/10.1016/j/eswa.2020.113688