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Title: |
Statistic Analysis on the Impact of Stock Index Futures on the Volatility of Spot Market |
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Source: |
International Conference on Engineering and Business Management 2012(Part 4 Urban Management and Financial Investment)
(pp 2929-2933)
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Author(s): |
Liping Ma, Department of Statistic, Capital University of Economics and Business, Beijing, China, 100072 |
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Abstract: |
Stock Index Futures is theoratically more sensitive in the acquisition and reflection of market information, and is able to reduce the market volatility and enhance the efficiency of informaiton transmission. However, Stock Index Futures is closely related with the price fluctuation of the stock spot market. As forward exchange, it has high risk and high yield. Therefore, in practice, the introduction of Stock Index Futures may also raise the volatility of the market. As the Stock Index Futures has been introduced to China not long before, it is quite meaningful to study questions such as if the occurrence of Stock Index Futures will bring fluctuation of the stock market and how it will impact on the long-term development of the stock market. This paper analyzes with quantitative research that if the introduction of Stock Index Futures will bring.
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