The Influence from Stock Index Futures to Stock Market Volatility

摘要：

because of the difference among the countries’ basic economic situation, stock market mechanism and scale, so according to different national or local the methods adopted is different also. Therefore this essay intends to observation how the India BSE30 index and Taiwan weighted index volatility’s change through the stock-index futures. To use EWMA model, the empirical analysis has been deduced stock-index future has short-term aggravate effect on stock market ultimately. Through the analysis of this two areas, then predicted after Shanghai-Shenzhen 300 index, the stock market volatility will increase in short-term, and in long-term will not change obviously, even will reduce.

关键词： stock index futures the stock market Volatility EWMA model.

作者: Zheng Fang Rong Da Chen

作者单位: Macau University of Science and Technology, MUSTMacau, 999078, China Zhejiang University of Finance & Economics, ZUFE Hangzhou, 310018, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 676-678

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）