Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model

Marcel Ausloos, Yining Zhang and Gurjeet Dhesi

Papers from arXiv.org

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.

Date: 2021-08
New Economics Papers: this item is included in nep-cwa, nep-ets and nep-fmk
References: Add references at CitEc
Citations:

Published in Expert Systems with Applications 160 (2020) 113688

Downloads: (external link)
http://arxiv.org/pdf/2109.15060 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2109.15060

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().