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Study On The Function Of Price Discovery And The Influence Of Volatility To The Stock Market Of CSI300Index Futures

Posted on:2015-01-27Degree:MasterType:Thesis
Country:ChinaCandidate:S D ShengFull Text:PDF
GTID:2309330467977614Subject:Statistics
Abstract/Summary:PDF Full Text Request
This paper study the function of price discovery of the CSI300index futures and the influence of volatility from CSI300index futures to the stock market,inspect whether the CSI300index futures plays the role that it should be and whether the purpose to develop the stock index futures of the management has realized.The study about the price discovery process that between the CSI300index futures and the CSI300index in three aspects,and use the one minute of high-frequency data of the CSI300index and CSI300index futures.Firstly,use methods of the Granger causality test and cross-correlation analysis to study the casual relationship between the CSI300index futures and the CSI300spot index.Then study the price interaction between index futures and spot index,use vector error correction model to analyze the dynamic correcting process when the price relationship deviate from the equilibrium,use the impulse response analysis method that based on VAR to observe the influence when another market to be impacted.Finally,analyze the contribution of price discovery of the CSI300index futures and spot index,extract the common effective price G, from index futures and the stock index to establish information share model,and measure the market contribution of price discovery from the angle of the source of the communality,and regard the share as the market contribution of price discovery.Then study the influence of volatility from CSI300index futures to the stock market,use the daily return rate of CSI index to establish ARMA-GARCH model,and introduce virtual variables in the GARCH model to analyze the influence of volatility from CSI300index futures to the stock market.The result about the function of price discovery shows that there is a long-term stable co-integration relationship between the logarithm price of the CSI300index and CSI300index futures,and the time that the logarithm yield of the CSI300index futures lead the CSI300index is about one to four minutes. When the short-term price relationship deviate from the long-term equilibrium level,the CSI300index will close up to the CSI300index futures and adjust to the long-term equilibrium level.In terms of price discovery contribution,the contribution of the CSI300index futures is much greater than the CSI300index,this phenomenon represents that the CSI300index futures market plays a leading role in the market price discovery process and it has the function of price discovery.The result about the influence of volatility shows that the listing of the CSI300index futures reduce the volatility of the stock market,and this phenomenon indicates that CSI index futures has promoted the stock market stability.
Keywords/Search Tags:CSI300index futures, price discovery, volatility, vector error correction model, information share model, GARCH model
PDF Full Text Request
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