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Liu, Mengxi (2008) The impact of launching Stock Index Futures on the volatility of the Chinese stock market. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

In order to make forecast on the spot market volatility after the launching of stock index futures in China, this dissertation used data from the Hong Kong stock market and the Indian stock market to do empirical analysis. Econometrics models used are the ARCH family models, including GARCH model, EGARCH model and TARCH model. For each time series dataset, results from the most suitable model were adopted. Briefly speaking, the Hang Seng Index (HSI) volatility decreased both in the long run and short run after HSI futures were launched. The Indian stock market volatility decreased in the long run after NIFTY index futures were introduced, while in the short run, the spot market volatility did not show significant change. The forecast on the Chinese stock market I made is that the long term spot market volatility will decrease after index futures were launched and the short term volatility will not change significantly. In addition, the best time to launch the CSI 300futures should not be at present in the current bear condition, but at the beginning of the next bull condition. Besides the above work, discussion on the design of CSI 300 futures contracts forms the last part.

Item Type:	Dissertation (University of Nottingham only)
Keywords:	stock index futures, volatility, the Chinese stock market
Depositing User:	EP, Services
Date Deposited:	22 Sep 2008
Last Modified:	19 Jan 2018 20:38
URI:	https://eprints.nottingham.ac.uk/id/eprint/21997

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