NDLI: The dynamic relationships between stock index futures and stock index markets: Evidence from China

Content Provider	IEEE Xplore Digital Library
Author	Zhou Bei Wu Chong
Copyright Year	2014
Description	Author affiliation: Sch. of Manage., Harbin Inst. of Technol., Harbin, China (Wu Chong) \|\| Sch. of Econ., Harbin Univ. of Sci. & Technol., Harbin, China (Zhou Bei)
Abstract	This paper employs the VAR-MGARCH models to investigate the price causal relationships and volatility spillovers effects between the CSI 300 index futures and spot markets in China. The 5 min high-frequency data from January 4, 2013 to October 31, 2013 are used. Four different multivariate GARCH models (BEKK, diagonal, constant conditional correlation, and dynamic conditional correlation) are compared and contrasted. It is found that the VAR-DCC-MGARCH model fits the data best and generates results showing that there exist bidirectional price causal relationships between the CSI 300 index futures and spot markets and the CSI 300 futures market tends to play a more dominant role in the price discovery process; there exist bidirectional volatility spillovers effects between the two markets and the index futures and spot markets play the almost equal roles in the volatility information transmission; the CSI 300 index futures and spot markets show a very strong linkage and the dynamic conditional correlations vary from 0.479 to 0.959 with time change. These conclusions indicate that at the maturity stage, the price discovery function of the CSI 300 index futures market has worked well, and the operating efficiency of the CSI 300 index futures market has further improved.
Starting Page	1442
Ending Page	1450
File Size	564692
Page Count	9
File Format	PDF
ISBN	9781479953752
ISSN	21551855
e-ISBN	9781479953769
DOI	10.1109/ICMSE.2014.6930401
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2014-08-17
Publisher Place	Finland
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Analytical models Correlation multivariate GARCH stock index futures Biological system modeling dynamic conditional correlation Data models price causal relationships Indexes Mathematical model volatility spillovers effects Equations
Content Type	Text
Resource Type	Article

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