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- W2382350494 abstract "Abstract: On April 16,2010,China launched stock index futures,and its impact to A-share market in China immediately became the main concern in the field of financial theory and practice.This paper is based on the daily return volatility of the Hang Seng Index which is relatively more mature,and introduces the dummy variable before and after the launching of stock index futures,and establishes models of ARCH and GARCH in order to test the effect of the launch of stock index futures on stock fluctuations.So it will better reveal the laws of the volatility of stock index futures and reduce the systemic risk of the market.The empirical results show that,GARCH(2,1) model fits best.The launching of stock index futures did not increase the volatility of the stock index,and the fact is that its volatility has been decreased.However,this effect is very small from the numerical point of view." @default.
- W2382350494 created "2016-06-24" @default.
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- W2382350494 date "2011-01-01" @default.
- W2382350494 modified "2023-09-24" @default.
- W2382350494 title "Analysis on the Influence of China Stock Index Future to Fluctuations of A-Share Market" @default.
- W2382350494 hasPublicationYear "2011" @default.
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