Chinese Stock Index Futures’ Effects on the A Share Market — A Study Based on the Improved TGARCH Model
Jianxin Bi1,2, Lianghai Lei2
COMPUTER MODELLING & NEW TECHNOLOGIES 2014 18(12C) 952-962
1 Faculty of Management, University of Shanghai for Science and Technology,516 Jun Gong Road, Shanghai, China
2 Faculty of Computer and Information, Zhejiang Wanli University, No.8, South Qian Hu Road Ningbo, Zhejiang,China
The paper improves the TGARCH model, and then builds three state transition models for the population sample of Hushen (Shanghai and Shenzhen) 300 Index. The paper selects the samples in the two years before and after the launch of stock index futures, and then uses the improved TGARCH model for market modelling, and makes a comparison with the original TGARCH model. The paper finds that after the launch of stock index futures, the A share market’s volatility ratio decreased greatly and volatility asymmetry weakened significantly, but still existed. The paper finally analyses the causes why stock index futures can stabilize A share market volatility and comes to a conclusion.