An empirical study of China’s financial stock index futures effect on stock spot market based on CSI 300????(Open Access)

作者：Chen, Xiongbing^*; Zhang, Ning

来源：International Journal of Multimedia and Ubiquitous Engineering, 2015, 10(11): 407-416.

DOI：10.14257/ijmue.2015.10.11.39

• CSI 300
• Empirical studies
• Financial system
• Granger causality analysis
• Policy suggestions
• Stock index futures
• VAR models
• Volatility

Finance is the core of modern economy, and the capital market as a part of the whole financial system, it is the key to the development of a country's economy. In this paper, we analyze the impact of stock index futures on the stock market by using CSI 300 index. The result shows that the stock index futures not significant effects on the volatility of spot market;however, there exist a co integration relationship in both long term and short term. Granger causality analysis shows that the stock index future is not Granger cause to CSI 300, while the CSI 300 is Granger cause stock index futures. On this basis, we put forward relevant policy suggestions.

• 出版日期2015
• 单位中国人民大学