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Price Discovery And Volatility Spillovers Between SGX FTSE/Xinhua China A50 Index Futures And Stock A Market

Posted on:2009-06-23Degree:MasterType:Thesis
Country:ChinaCandidate:F WangFull Text:PDF
GTID:2189360272986311Subject:Finance
Abstract/Summary:PDF Full Text Request
Since Singapore Exchange introduces the SGX Nikkei 225 index futures, theoverseas listing of index futures occur time to time. With the development of Chinaeconomy and the opening of financial fields, the overseas financial markets listedstock index derivatives, closely related to our stock spot market, which bring greatpressure to the development of china's stock index futures. FTSE/Xinhua China A50Index Futures was introduced in Singapore Exchange on September 5, 2006. As thehigh relevance between FTSE/Xinhua China A50 index and CSI300 index, thedomestic academic community is very concerned about the effect of FTSE/XinhuaChinaA50 Index Futures on the price and volatility of stockAmarket.Singapore Exchange is one of exchanges with many overseas listing index futures,of which, the SGX Nikkei 225 index futures and MSCI Taiwan Stock Index Futureshas achieved great success. First of all, this paper analyses the trading mechanismsand the development trend of the SGX Nikkei 225 index futures, MSCI Taiwan StockIndex Futures and to identify commonalities among them and FTSE/Xinhua ChinaA50 Index Futures. Secondly, studies the long-term and short-term price discoveryfunction of FTSE/Xinhua China A50 Index Futures and CSI 300 index, the Index ofShanghai stock exchange through co-integration test, error correction model and theimpulse response function. Empirical results show that FTSE/Xinhua China A50Index Futures is price discovery vehicle for stock A market at a certain extent.Futuremore, this paper uses Granger test and BEKK model to investgate the volatilityspillovers effects of FTSE/Xinhua A50 Index Futures. Empirical results show that theFTSE Xinhua China A50 Index Futures is not a source of instability for the stock Amarket. So far, the FTSE/Xinhua A50 Index Futures trading has not yet posed a greatthreat to the price discoveryand volatilityof stockAmarket.In view of relationship among FTSE/Xinhua A50 Index Futures, stock A market,CSI 300 index futures, we believe that the impact of the FTSE/Xinhua A50 IndexFutures still need to be concerned about. Therefore, should change CSI 300 indexfutures contract multiplier and transaction costs to enhance market liquidity;implement cross-border regulation; encourage Hong Kong Exchange to develop stockAindex futures.
Keywords/Search Tags:overseas listing, FTSE/Xinhua China A50 index futures, price discovery, volatilityspillovers
PDF Full Text Request
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