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Morris Barnett
5 years ago
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1 , F83 A caixh@cffex.com.cn

2 Stock Index Futures Effect on Spot Markets Stabilization: Mechanism Analysis and Empirical Test Cai Xianghui Abstract: From the two mechanisms of risk management and price discovery and the three perspectives of volatility, system risk and positive feedback trading of stocks market, this paper makes empirical analysis on indexes in different markets, and analyzes deeply the stock index futures market s function of stabilizing the underlying spot markets, including its affect on stocks market s volatility and its function mechanism. This paper finds that the results by the three methods all support stock index futures stabilization function; Its price discovery function has dual enhancing effect namely enhancing stock markets information efficiency and volatility; Its restraining effect on positive feedback trading is most basic and most observably in three kinds of research, apt to working as the criterion of stock index futures market s stabilization function. Key words: Stock Index Futures; Stability; System Risk; Positive Feedback Trading Dual Enhancing Effect caixh@cffex.com.cn

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4 Keynes 93 Hicks 946 Holbrook Working 953 Leland Johnson Jercme Stein Donm.Chance Markowitz Merton Miller Alan Greenspan 4 999

5 Miller 977 Harrison Kreps 978 Aitken et al. 998 Chang et al. 007 Scheinkman Xiong 003 Stein 003 Hong Sorescu 00 Danielsen Tse % % 5-45 Chou Chung

6 ETF 5 30 Ross 989 Merton 995 Antoniou Holmes Wang 993 Wang Jiang, 993, A Model of Intertemporal Asset Prices Under Asymmetric Information, Review of Economics Studies 60,

7 Powers 970 Grossman Miller

8 Edwards 988 Freris 990 Hodgson Nicholls 99 Lasstsch 99 Gerety Mulherin 994 Pericli Koutmos 997 Bessembinder Hendrik Seguin 99 Lee Ohk 99 Robinson 994 Antoniou 995 Damodaran 990 Lockwood Linn 990 GARCH GARCH EGARCH TARCH GARCH 8

9 TARCH EGARCH GARCH DF q p 0 h h DF t 0 i t i. i j j t j DF 0 TARCH EGARCH 9

10 Bollen 998 Mihov EGARCH EGARCH 7 50% TARCH TARCH 5 33% 7% % 7% Charles M.S. Sutcliffe 0

11 38 8.6% % % 8 % 80% 67% 33% 7% 50% 7% Charles M.S. Sutcliffe

12 3

13 CME % Alpha Beta McKenzie 00 3

14 E( ri ) i E( rm ) D E( ri ) ( i i D) E( rm ) i( delta D) E( r i M ) delata D 0 D

15 0 50 i<0 delata i <0 i delata i %-80% % 90 70% % Nasdaq % FTSE00 BOVESPA CAC40 DAX 5

16 5 *** 99% ** 95% * 90% Bloomberg % 00% 67% 8.67% 0.58%

17 % 85.7% % % % 3.99% 7.59% 7.09% 5% 4% 7 5 7

18 % 00% 99% 00% 8 *** 99% ** 95% * 90% 5 6 8

19 Ross 989 Price Determination Price Priority GARCH 9

21 Ross 989 Merton 995 Antoniou Holmes 995 FTSE00 006

22 GARCH Antoniou Holmes 995 Chou Lee Wu EGARCH Euro Stoxx

23 94.50% 46.7% 8.5% 6.63% 4.69%.06% Antoniou Holmes 995 Euro Stoxx 50 Chou Chou EGARCH 9 3

24 3 Gonzalo Granger Hasbrouck AIC SC Bingchen Eric 994 AIC SC SC 4 7 4

25 007 Herbst Maberly

26 Koutmos 997 Koutmos Saidi 00 Antoniou Koutmos Pericli Antoniou 005 /3 006 Antoniou 005 Antonioua 005 Shiller 984 Sentana Wadhwani 99 6

27 3 4 Y t- E t- R t t 3 Y R t- t- 4 Y,t- t- R t t E t- t- t t Y,t- t- R t- t- >0 t, Y,t + Y,t = R t = E t- R t- + t 3 4 R t R t 0 t t- t 5 = - GARCH, t 0 t- t- S t- t- 6 0 t t t t St, 0 Antonioua 005 D t 7

28 R t t 0 Dt 0 Dt Rt Dt D t t R t t 7 t 0, D t D 0, t t- t- S t- t- 8 D t = D t =0 D t =0 Antonioua Stoxx50 H KOSPI00 RTS NIFTY BOVESPA 3 4 Antonioua 005 Eviews Generalized Error Distribution GED

29 6 90% 30 9 * 90%,** 95%,*** 99% % 4 4 9

30 4 3 Antonioua % Antonioua CAC Stoxx50 H KOSPI00 RTS NIFTY BOVESPA H A 30

31 Future Overlay Cox 976 Finglewski 98 Stein 987 Antoniou 005 Lavakkol 000 S&P500 Antoniou

32 Cox 976 Ross Sentana Wadhwani

33 3 0 33

34 300 34

35 [] [J]. 009 (0):78-8 [] [J]. 009 (0):-9 [3] [J] 00, [4] [M] 00 [5] [R] 005 [6] [M] 999 [7] Shiller-Sentana-Wadhwani [J], (4):5-55. [8] DSSW [J] [9] [M] 006 [0] [J] []Antoniou, A., and Holmes, P..995.Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-00 Stock Index Futures Contract Using GARCH[J], Journal of Banking and Finance,9:7-9. []Antoniou A,koutmos G and Pericli A. 005.Index futures and positive feedback trading:evidence from major stock exchanges[j].journal of Empirical Finance.,:9-38. [3]Bessembinder H, Seguin PJ. 99.Futures-trading activity and stock price volatility[j]. Journal of Finance, 47: Campbell John Y,Martin Lettau, Burton G Malkiel,Yexiao Xu. 00.Have Individual Stocks Become More Volatile? An Empirical [4]Exploration of Idiosyncratic Risk[J].Journal of Finance, 56 :-43. [5]Chan, K., K.C Chan,. and G.A. Karolyi, 99,Intraday Volatility in The Stock Index and Stock Index Futures Markets, Review of Financial Studies[J],5, [6]Charles M.S. Stutcliffe, Stock Index Futures: Theories and International Evidence, International Thomson Business Press,997. [7]Cox, C. C., Futures Trading and Market Information [J], Journal of Political Economy, 976, 84:5-37. [8]Koutmos G.997.Feedback trading and the autocorrelation pattern of stock returns: further empirical evidence[j].journal of international money and finance,6: [9]Koutmos G and Saidi R.00.Positive feedback trading in emerging capital markets[j].applied Financial Economics,:9-97 [0]Lavakkol Amir. 000.Positive feedback treading in the Options Market[J].Quarterly Journal of Bussiness & Economics,39:69-8 []Lee SB, Ohk KY. 99. Stock index futures listing and structural change in time-varying volatility [J]. Journal of Futures Markets, : []McKenzie M, Brailsford TJ and Faff RW 00 'New Insights into the Impact of the Introduction of Future Trading on Stock Price Volatility', Journal of Futures Markets, vol., pp [3]Merton, R. C., 995, Financial Innovation and the Management and Regulation of Financial Institutions, Journal of Banking and Finance, 9: [4]Ross, S. A Information and volatility: the no-arbitrage martingale approach to timing and resolution irrelevancy, Journal of Finance, 44, 7. [5]Shiller R J.Stock prices and social danamics[j].brookings Papers on Economic Activity.984 : [6]Sentana E and Wadhwani S.99.Feedback traders and stock return autocorrelations: evidence from a century of daily data [J]. Economic journal,0:

36 TARCH/EGARCH FTSE00 GARCH TARCH EGARCH 5% 36

37 EGARCH 5% 37

Futures Trading, Information and Spot Price Volatility of NSE-50 Index Futures Contract

Ref No.: NSE/DEAP/59 November 22, 2001 Futures Trading, Information and Spot Price Volatility of NSE-50 Index Futures Contract Introduction: The advent of stock index futures and options has profoundly