Research on the stabilizing effect of stock index futures on A-share market in China-- From the perspective of Shanghai A-share abnormal volatility

Si Pan (), Qianqian Zhou and Congcong Wang
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Si Pan: Wuhan Polytechnic
Qianqian Zhou: Wuhan Polytechnic
Congcong Wang: Shangwan Hongyuan securities

A chapter in Proceedings of the 2023 2nd International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2023), 2024, pp 348-357 from Springer

Abstract: Abstract In addition to having the function of price discovery and hedging, stock index futures have attracted wide attention from scholars, due to its special systemic risk avoidance mechanism. China’s stock index futures were launched in a short time, with the Shanghai and Shenzhen 300 index futures as a typical representative. This paper is based on data samples of the daily closing price of the IF300 index futures and The Shanghai Composite Index from 16 April 2010 to 17 October 2019.Used The GARCH model and the virtual variable regression model, it analyze the negative feedback effect of the IF300 index on the abnormal fluctuation of A-shares in the Shanghai Composite market. The research shows the IF300 index futures are highly correlated to the Shanghai Composite index, and the price has convergence, in the normal market. Under the abnormal situation of the Shanghai A-share market, the IF300 index futures have a relatively significant negative feedback effect, and it can play a role in stabilizing the Shanghai A-share stock market.

Keywords: Stock Index Futures; Stability Effect; GARCH Model; Virtual Variable (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-268-2_38

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DOI: 10.2991/978-94-6463-268-2_38

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