Academic Journal of Business & Management, 2023, 5(11); doi: 10.25236/AJBM.2023.051106.
Qian Shan
School of Economics and Management, Guangxi Normal University, Guilin, China
To specifically analyze the impact of SSE 50 stock index futures on the volatility of the underlying stock market, the daily closing price of China's SSE 50 index and daily closing price of SSE 50 stock index futures data from 2008-2022 are selected as samples, and the GARCH model, Granger causality test, and DCC-GARCH model are used for empirical analysis in conjunction with the launch time of SSE 50 stock index futures. It is found that: the launch of SSE 50 stock index futures intensifies the volatility of the spot market in the short run, but suppresses the volatility of the spot market in the long run, and suppresses the risk of the stock market to a certain extent; there is a two-way causal relationship between the two, and the two markets have maintained a high positive correlation since the launch of SSE 50 stock index futures, and there is a volatility spillover effect.
Stock index futures; GARCH; Granger causality test; DCC-GARCH
Qian Shan. Research on the Impact of SSE 50 Index Futures on the Volatility of the Target Stock Market. Academic Journal of Business & Management (2023) Vol. 5, Issue 11: 42-47. https://doi.org/10.25236/AJBM.2023.051106.
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