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The Impact of Stock Index Futures on Spot Market Volatility

机译:股指期货对现货市场波动的影响

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This paper studies the influence of stock index futures transactions on spot market volatility. Based on a modified GARCH model with a dummy variable, with a sample of daily data of CSI 300 index from 2005 to 2015, the empirical study examined the impact of CSI 300 index futures on the stock market volatility. The result indicates that after the launch of the CSI 300 index futures, the stock market volatility increased in the past five years. Policy measures such as improvement of both spot and futures market are necessary to contain the risks.
机译:本文研究股指期货交易对现货市场波动的影响。 基于具有虚拟变量的修改的GARCH模型,从2005年到2015年的CSI 300指数的日常数据样本,实证研究检测了CSI 300指数期货对股市波动的影响。 结果表明,在CSI 300指数期货推出后,股市波动在过去五年增加。 允许遏制风险所需的政策措施,如现货和期货市场的改进。

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