The Empirical Study On Asymmetric Volatility In CSI 300 Index Futures Based On Behavioral Finance

Since it is established,the index futures has been had an important role on the financial market of risk management.Especially in front of several of the world financial crisis,the stock index futures highlight the "rescue" function.The price fluctuations of financial assets has been the study of the core content of financial market rules,it is also an important topic of finance empirical research.Since the stock index futures in China started late,the country's first stock index futures-CSI 300 stock index futures officially launched on April 16,2010,therefore,the domestic researchers on stock index futures are in development.Based on this,it has important practical significance to study the price volatility of the CSI 300 stock index futures.Taking the daily return of the CSI 300 index futures as the target,this paper establishes classical model of price fluctuations and volatility including GARCH model and asymmetric model EGARCH model.Also,by importing value function in prospect theory of behavioral finance,the authors modify the model of EGARCH,specificly study impact of price fluctuations from investors' behavior of behavioral finance.Firstly,the paper reviews basic theories of stock index futures and asset price volatility,introduces the classic ARCH family models;describes systematically the development of traditional asset price fluctuation theories with the growth of the behavior of the financial;summarizes the investors' behavioral characteristics and psychological factors which influence the market volatility.Secondly,estabishes the ARCH family model,divides the closing price of CSI 300 stock index futures datas from the beginning to November 12,2014 into three stages,namely do empirical tests to verify the non-volatility symmetry of the CSI 300 stock index futures return series.Further,by the modified EGARCH model in behavioral finance theory,studies the impact of the investor's psychological factors on the CSI 300 stock index futures price fluctuations.Finally,the paper analyzes empirical parameters,proves CSI 300 stock index futures market fluctuated asymmetry under different financial environment,and the investors' psychological factors have a remarkable influence on the price fluctuation.As for the empirical results,this paper gives advice to the construction of Chinese futures market and investors combined with the theory of the behavior of the investors.