Stock Index Futures Trading Impact on Spot Price Volatility. The CSI 300 studied with a TGARCH model

Journal article

Ausloos, M, Zhang, Y and Dhesi, G (2020). Stock Index Futures Trading Impact on Spot Price Volatility. The CSI 300 studied with a TGARCH model. Expert Systems with Applications. https://doi.org/10.1016/j.eswa.2020.113688
AuthorsAusloos, M, Zhang, Y and Dhesi, G
Abstract

A TGARCH modeling is argued to be the optimal basis for investigating the impact of index futures trading on spot price variability. We discuss the CSI-300 index (China-Shanghai-Shenzhen-300-Stock Index) as a test case. The results prove that the introduction of CSI-300 index futures (CSI-300-IF) trading significantly reduces the volatility in the corresponding spot market. It is also found that there is a stationary equilibrium relationship between the CSI-300 spot and CSI-300-IF markets. A bidirectional Granger causality is also detected. “Finally”, it is deduced that spot prices are predicted with greater accuracy over a 3 or 4 lag day time span.

KeywordsTGARCH; CSI 300 index; CSI 300 stock index futures; index futures trading; spot price variability; co-integration causality tests
Year2020
JournalExpert Systems with Applications
PublisherElsevier BV
ISSN0957-4174
Digital Object Identifier (DOI)https://doi.org/10.1016/j.eswa.2020.113688
Publication dates
Print08 Jul 2020
Publication process dates
Accepted21 Jun 2020
Deposited18 Jul 2020
Accepted author manuscript
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Open
Page range113688-113688
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Andrei, T, Oancea, B, Richmond, P, Dhesi, G and Herteliu, C. (2017). Decomposition of the Inequality of Income distribution by income types- Application for Romania. Entropy. 19 (9), p. 430. https://doi.org/10.3390/e19090430
Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton
Dhesi, G and Ausloos, M (2016). Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton. Chaos, Solitons and Fractals. 88 (July), pp. 119-125. https://doi.org/10.1016/j.chaos.2015.12.015
Modified Brownian Motion Approach to Modelling Returns Distribution
Dhesi, G, Shakeel, MB and Xiao, L (2016). Modified Brownian Motion Approach to Modelling Returns Distribution. Wilmott. 82, pp. 74-77. https://doi.org/10.1002/wilm.10494
Finite size effects in the averaged eigenvalue density of Wigner random-sign real symmetric matrices
Dhesi, G and Ausloos, M (2016). Finite size effects in the averaged eigenvalue density of Wigner random-sign real symmetric matrices. Physical Review E - Statistical, Nonlinear, and Soft Matter Physics. 93 (6). https://doi.org/10.1103/PhysRevE.93.062115