Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model

作者：

Highlights：

• Index futures trading impact on spot price variability is best studied with TGARCH.

• The CSI-300-IF trading significantly reduces the volatility in CSI-300.

• A stationary equilibrium is found between the CSI-300 spot and CSI-300-IF.

• A bidirectional Granger causality is detected.

• Spot prices are also predicted with greater accuracy.

摘要

•Index futures trading impact on spot price variability is best studied with TGARCH.•The CSI-300-IF trading significantly reduces the volatility in CSI-300.•A stationary equilibrium is found between the CSI-300 spot and CSI-300-IF.•A bidirectional Granger causality is detected.•Spot prices are also predicted with greater accuracy.

论文关键词：TGARCH,CSI 300 index,CSI 300 stock index futures,Index futures trading,Spot price variability,Co-integration causality tests

论文评审过程：Received 30 December 2019, Revised 6 March 2020, Accepted 21 June 2020, Available online 8 July 2020, Version of Record 21 July 2020.

论文官网地址：https://doi.org/10.1016/j.eswa.2020.113688