# 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.*

Authors | Ausloos, 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. |

Keywords | TGARCH; CSI 300 index; CSI 300 stock index futures; index futures trading; spot price variability; co-integration causality tests |

Year | 2020 |

Journal | Expert Systems with Applications |

Publisher | Elsevier BV |

ISSN | 0957-4174 |

Digital Object Identifier (DOI) | doi:10.1016/j.eswa.2020.113688 |

Publication dates | |

Print | 08 Jul 2020 |

Publication process dates | |

Accepted | 21 Jun 2020 |

Deposited | 18 Jul 2020 |

Accepted author manuscript | License File Access Level Open |

Page range | 113688-113688 |

Permalink -

https://openresearch.lsbu.ac.uk/item/8q238

## Restricted files

### Accepted author manuscript

Under embargo until 08 Jul 2022

##### 9

total views##### 1

total downloads##### 6

views this month##### 0

downloads this month

## Export as

## Related outputs

##### Tsallis Entropy for Cross-Shareholding Network Configurations

Cerqueti, R., Rotundo, G. and Ausloos, M. (2020). Tsallis Entropy for Cross-Shareholding Network Configurations.*Entropy.*22 (6), pp. 676-676.

##### Words ranking and Hirsch index for identifying the core of the hapaxes in political texts

Ficcadenti, V., Cerqueti, R., Ausloos, M. and Dhesi, G. (2020). Words ranking and Hirsch index for identifying the core of the hapaxes in political texts.*Journal of Informetrics.*14 (3), pp. 101054-101054.

##### Entropic Analysis of Votes Expressed in Italian Elections between 1948 and 2018

Marmani, S., Ficcadenti, V., Kaur, P. and Dhesi, G. (2020). Entropic Analysis of Votes Expressed in Italian Elections between 1948 and 2018.*Entropy.*22 (5), pp. 523-523.

##### Analysis of Social Media Impact on Opportunity Recognition. A Social Networks and Entrepreneurial Alertness Mixed Approach

Dhesi, G., Ceptureanu, S., Ceptureanu, E. and Cristescu, M. (2020). Analysis of Social Media Impact on Opportunity Recognition. A Social Networks and Entrepreneurial Alertness Mixed Approach.*Entropy: international and interdisciplinary journal of entropy and information studies.*22 (3).

##### Liquidity transmission and the subprime mortgage crisis: a multivariate GARCH approach

Xiao, L., Dhesi, G., Ceptureanu, E.G., Lin, K., Herteliu, C., Syed, B. and Ceptureanu, S.I. (2020). Liquidity transmission and the subprime mortgage crisis: a multivariate GARCH approach.*Soft Computing.*10.

##### Mapping child growth failure across low- and middle-income countries

Kinyoki, D., Osgood-Zimmerman, A., Pickering, B., Schaeffler, L., Ausloos, M., Herteliu, C., Kassenbaum, N. and Hay, S. (2020). Mapping child growth failure across low- and middle-income countries.*Nature.*577 (7789), pp. 231-234.

##### A joint text mining-rank size investigation of the rhetoric structures of the US Presidents’ speeches

Ficcadenti, V, Cerqueti, R. and Ausloos, M. (2019). A joint text mining-rank size investigation of the rhetoric structures of the US Presidents’ speeches.*Expert Systems with Applications.*123, pp. 127-142.

##### Money's Importance from the religious perspective

Dhesi, G., Herteliu, C., Jianu, I., Jianu, J., Bobb, V.C., Ceptureanu, S.I., Ceptureanu, E.G. and Ausloos, M. (2019). Money's Importance from the religious perspective.*Annals of Operations Research.*

##### Duration gap analysis revisited method in order to improve risk management: the case of Chinese commercial bank interest rate risks after interest rate liberalization

Dhesi, G., Ausloos, M., Ma, Q., Kaur, P. and Syed, B. (2019). Duration gap analysis revisited method in order to improve risk management: the case of Chinese commercial bank interest rate risks after interest rate liberalization.*Soft Computing.*

##### Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach

Dhesi, G., Shakeel, B. and Ausloos, M. (2019). Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach.*Annals of Operations Research.*pp. 1-4.

##### Evidence for Gross Domestic Product growth time delay dependence over Foreign Direct Investment. A time-lag dependent correlation study

Dhesi, G, Ausloos, M, Kaur, P and Eskandary, A (2019). Evidence for Gross Domestic Product growth time delay dependence over Foreign Direct Investment. A time-lag dependent correlation study.*Physica A: Statistical Mechanics and its Applications.*527.

##### Alcohol use and burden for 195 countries and territories, 1990-2016: A systematic analysis for the Global Burden of Disease Study 2016

Griswold, MG, Fullman, N, Hawley, C, Arian, N, Zimsen, SRM, Tymeson, HD, Venkateswaran, V, Tapp, AD, Forouzanfar, MH, Salama, JS, Abate, KH, Abate, D, Abay, SM, Abbafati, C, Abdulkader, RS, Abebe, Z, Aboyans, V, Abrar, MM, Acharya, P, Adetokunboh, OO, Adhikari, TB, Adsuar, JC, Afarideh, M, Agardh, EE, Agarwal, G, Aghayan, SA, Agrawal, S, Ahmed, MB, Akibu, M, Akinyemiju, T, Akseer, N, Al Asfoor, DH, Al-Aly, Z, Alahdab, F, Alam, K, Albujeer, A, Alene, KA, Ali, R, Ali, SD, Alijanzadeh, M, Aljunid, SM, Alkerwi, A, Allebeck, P, Alvis-Guzman, N, Amare, AT, Aminde, LN, Ammar, W, Amoako, YA, Amul, GGH, Andrei, CL, Angus, C, Ansha, MG, Antonio, CAT, Aremu, O, Ärnlöv, J, Artaman, A, Aryal, KK, Assadi, R, Ausloos, M, Avila-Burgos, L, Avokpaho, EFGA, Awasthi, A, Ayele, HT, Ayer, R, Ayuk, TB, Azzopardi, PS, Badali, H, Badawi, A, Banach, M, Barker-Collo, SL, Barrero, LH, Basaleem, H, Baye, E, Bazargan-Hejazi, S, Bedi, N, Béjot, Y, Belachew, AB, Belay, SA, Bennett, DA, Bensenor, IM, Bernabe, E, Bernstein, RS, Beyene, AS, Beyranvand, T, Bhaumik, S, Bhutta, ZA, Biadgo, B, Bijani, A, Bililign, N, Birlik, SM, Birungi, C, Bizuneh, H, Bjerregaard, P, Bjørge, T, Borges, G, Bosetti, C, Boufous, S, Bragazzi, NL, Brenner, H and Butt, ZA (2018). Alcohol use and burden for 195 countries and territories, 1990-2016: A systematic analysis for the Global Burden of Disease Study 2016.*The Lancet.*392 (10152), pp. 1015-1035.

##### Global, regional, and national comparative risk assessment of 84 behavioural, environmental and occupational, and metabolic risks or clusters of risks for 195 countries and territories, 1990-2017: A systematic analysis for the Global Burden of Disease Study 2017

Stanaway, JD, Afshin, A, Gakidou, E, Lim, SS, Abate, D, Abate, KH, Abbafati, C, Abbasi, N, Abbastabar, H, Abd-Allah, F, Abdela, J, Abdelalim, A, Abdollahpour, I, Abdulkader, RS, Abebe, M, Abebe, Z, Abera, SF, Abil, OZ, Abraha, HN, Abrham, AR, Abu-Raddad, LJ, Abu-Rmeileh, NME, Accrombessi, MMK, Acharya, D, Acharya, P, Adamu, AA, Adane, AA, Adebayo, OM, Adedoyin, RA, Adekanmbi, V, Ademi, Z, Adetokunboh, OO, Adib, MG, Admasie, A, Adsuar, JC, Afanvi, KA, Afarideh, M, Agarwal, G, Aggarwal, A, Aghayan, SA, Agrawal, A, Agrawal, S, Ahmadi, A, Ahmadi, M, Ahmadieh, H, Ahmed, MB, Aichour, AN, Aichour, I, Aichour, MTE, Akbari, ME, Akinyemiju, T, Akseer, N, Al-Aly, Z, Al-Eyadhy, A, Al-Mekhlafi, HM, Alahdab, F, Alam, K, Alam, S, Alam, T, Alashi, A, Alavian, SM, Alene, KA, Ali, K, Ali, SM, Alijanzadeh, M, Alizadeh-Navaei, R, Aljunid, SM, Alkerwi, A, Alla, F, Alsharif, U, Altirkawi, K, Alvis-Guzman, N, Amare, AT, Ammar, W, Anber, NH, Anderson, JA, Andrei, CL, Androudi, S, Animut, MD, Anjomshoa, M, Ansha, MG, Antó, JM, Antonio, CAT, Anwari, P, Appiah, LT, Appiah, SCY, Arabloo, J, Aremu, O, Ärnlöv, J, Artaman, A, Aryal, KK, Asayesh, H, Ataro, Z, Ausloos, M, Avokpaho, EFGA, Awasthi, A, Quintanilla, BPA, Ayer, R, Ayuk, TB and Azzopardi, PS (2018). Global, regional, and national comparative risk assessment of 84 behavioural, environmental and occupational, and metabolic risks or clusters of risks for 195 countries and territories, 1990-2017: A systematic analysis for the Global Burden of Disease Study 2017.*The Lancet.*392 (10159), pp. 1923-1994.

##### Global, regional, and national disability-adjusted life-years (DALYs) for 359 diseases and injuries and healthy life expectancy (HALE) for 195 countries and territories, 1990-2017: A systematic analysis for the Global Burden of Disease Study 2017

Kyu, HH, Abate, D, Abate, KH, Abay, SM, Abbafati, C, Abbasi, N, Abbastabar, H, Abd-Allah, F, Abdela, J, Abdelalim, A, Abdollahpour, I, Abdulkader, RS, Abebe, M, Abebe, Z, Abil, OZ, Aboyans, V, Abrham, AR, Abu-Raddad, LJ, Abu-Rmeileh, NME, Accrombessi, MMK, Acharya, D, Acharya, P, Ackerman, IN, Adamu, AA, Adebayo, OM, Adekanmbi, V, Ademi, Z, Adetokunboh, OO, Adib, MG, Adsuar, JC, Afanvi, KA, Afarideh, M, Afshin, A, Agarwal, G, Agesa, KM, Aggarwal, R, Aghayan, SA, Agrawal, A, Ahmadi, A, Ahmadi, M, Ahmadieh, H, Ahmed, MB, Ahmed, S, Aichour, AN, Aichour, I, Aichour, MTE, Akinyemiju, T, Akseer, N, Al-Aly, Z, Al-Eyadhy, A, Al-Mekhlafi, HM, Al-Raddadi, RM, Alahdab, F, Alam, K, Alam, T, Alashi, A, Alavian, SM, Alene, KA, Alijanzadeh, M, Alizadeh-Navaei, R, Aljunid, SM, Alkerwi, A, Alla, F, Allebeck, P, Alonso, J, Alsharif, U, Altirkawi, K, Alvis-Guzman, N, Aminde, LN, Amini, E, Amiresmaili, M, Ammar, W, Amoako, YA, Anber, NH, Andrei, CL, Androudi, S, Animut, MD, Anjomshoa, M, Ansha, MG, Antonio, CAT, Anwari, P, Arabloo, J, Aremu, O, Ärnlöv, J, Arora, A, Arora, M, Artaman, A, Aryal, KK, Asayesh, H, Ataro, Z, Ausloos, M, Avila-Burgos, L, Avokpaho, EFGA, Awasthi, A, Ayala Quintanilla, BP, Ayer, R, Azzopardi, PS, Babazadeh, A, Badali, H and Balakrishnan, K (2018). Global, regional, and national disability-adjusted life-years (DALYs) for 359 diseases and injuries and healthy life expectancy (HALE) for 195 countries and territories, 1990-2017: A systematic analysis for the Global Burden of Disease Study 2017.*The Lancet.*392 (10159), pp. 1859-1922.

##### Global, regional, and national incidence, prevalence, and years lived with disability for 354 Diseases and Injuries for 195 countries and territories, 1990-2017: A systematic analysis for the Global Burden of Disease Study 2017

James, SL, Abate, D, Abate, KH, Abay, SM, Abbafati, C, Abbasi, N, Abbastabar, H, Abd-Allah, F, Abdela, J, Abdelalim, A, Abdollahpour, I, Abdulkader, RS, Abebe, Z, Abera, SF, Abil, OZ, Abraha, HN, Abu-Raddad, LJ, Abu-Rmeileh, NME, Accrombessi, MMK, Acharya, D, Acharya, P, Ackerman, IN, Adamu, AA, Adebayo, OM, Adekanmbi, V, Adetokunboh, OO, Adib, MG, Adsuar, JC, Afanvi, KA, Afarideh, M, Afshin, A, Agarwal, G, Agesa, KM, Aggarwal, R, Aghayan, SA, Agrawal, S, Ahmadi, A, Ahmadi, M, Ahmadieh, H, Ahmed, MB, Aichour, AN, Aichour, I, Aichour, MTE, Akinyemiju, T, Akseer, N, Al-Aly, Z, Al-Eyadhy, A, Al-Mekhlafi, HM, Al-Raddadi, RM, Alahdab, F, Alam, K, Alam, T, Alashi, A, Alavian, SM, Alene, KA, Alijanzadeh, M, Alizadeh-Navaei, R, Aljunid, SM, Alkerwi, A, Alla, F, Allebeck, P, Alouani, MML, Altirkawi, K, Alvis-Guzman, N, Amare, AT, Aminde, LN, Ammar, W, Amoako, YA, Anber, NH, Andrei, CL, Androudi, S, Animut, MD, Anjomshoa, M, Ansha, MG, Antonio, CAT, Anwari, P, Arabloo, J, Arauz, A, Aremu, O, Ariani, F, Armoon, B, Ärnlöv, J, Arora, A, Artaman, A, Aryal, KK, Asayesh, H, Asghar, RJ, Ataro, Z, Atre, SR, Ausloos, M, Avila-Burgos, L, Avokpaho, EFGA, Awasthi, A, Ayala Quintanilla, BP, Ayer, R, Azzopardi, PS, Babazadeh, A, Badali, H, Badawi, A and Bali, AG (2018). Global, regional, and national incidence, prevalence, and years lived with disability for 354 Diseases and Injuries for 195 countries and territories, 1990-2017: A systematic analysis for the Global Burden of Disease Study 2017.*The Lancet.*392 (10159), pp. 1789-1858.

##### Non stationarity of high order return distribution moments and their Irrational fractional Brownian Motion modelling

Dhesi, G (2018). Non stationarity of high order return distribution moments and their Irrational fractional Brownian Motion modelling.*EURO 2018.*Valencia 08 - 11 Jul 2018

##### Comparative Causality Analyses between Hydrological Natural Inflow and Climate Variables in Brazil

Huang, X, Macaira, P, Hassani, H, Oliviera, F and Dhesi, G (2018). Comparative Causality Analyses between Hydrological Natural Inflow and Climate Variables in Brazil.*Physica A: Statistical Mechanics and its Applications.*516, pp. 480-495.

##### Quantitative and qualitative analysis of editor behavior through potentially coercive citations

Herteliu, C, Ausloos, M, Ileanu, BV, Rotundo, G and Andrei, T (2017). Quantitative and qualitative analysis of editor behavior through potentially coercive citations.*Publications.*5 (2), pp. 15-15.

##### Decomposition of the Inequality of Income distribution by income types- Application for Romania

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.

##### 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.

##### 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.

##### 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).