Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17–19, 2023, Beijing, China

Research Article

An Empirical Study of the Impact of Stock Index Futures on the Spot Stock Market

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  • @INPROCEEDINGS{10.4108/eai.17-11-2023.2342651,
        author={Feiyu  Yan},
        title={An Empirical Study of the Impact of Stock Index Futures on the Spot Stock Market},
        proceedings={Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17--19, 2023, Beijing, China},
        publisher={EAI},
        proceedings_a={ICEMME},
        year={2024},
        month={2},
        keywords={stock index futures; stock index; vector error correction model; garch model},
        doi={10.4108/eai.17-11-2023.2342651}
    }
    
  • Feiyu Yan
    Year: 2024
    An Empirical Study of the Impact of Stock Index Futures on the Spot Stock Market
    ICEMME
    EAI
    DOI: 10.4108/eai.17-11-2023.2342651
Feiyu Yan1,*
  • 1: Hebei Normal University
*Contact email: Feiyu-Yan@outlook.com

Abstract

Employing the closing prices of the SSE 50 stock index futures and its underlying stock index on the trading day as sample data, this study explores the influence of stock index futures on the spot stock market. In the course of the investigation, a Vector Error Correction Model (VECM) is utilized, and the outcomes reveal a long-term equilibrium relationship and dynamic reciprocal interaction between the stock index futures prices and the spot prices of the underlying index. Furthermore, through the analysis of a GARCH model, it is confirmed that the introduction of stock index futures and the trading restriction measures implemented by the China Financial Futures Exchange (CFFEX) can reduce stock market volatility. Despite the belated introduction of stock index futures in China, compared with developed countries, it has already demonstrated its ability to mitigate market volatility. To foster harmonious and robust development of the stock index futures market and the spot stock market, it is recommended to strengthen regulation of the stock index futures market, optimize market mechanisms and enhance investor quality to fully leverage the role of the capital market.