Research Article
The Impact of the Stock Index Futures “Regulation” Policy and “Deregulation” Policies on the Spot Market Volatility
@INPROCEEDINGS{10.4108/eai.26-5-2023.2334418, author={Haorui Jia}, title={The Impact of the Stock Index Futures “Regulation” Policy and “Deregulation” Policies on the Spot Market Volatility}, proceedings={Proceedings of the 2nd International Conference on Mathematical Statistics and Economic Analysis, MSEA 2023, May 26--28, 2023, Nanjing, China}, publisher={EAI}, proceedings_a={MSEA}, year={2023}, month={7}, keywords={index futures; spot market; volatility; trading policy adjustment}, doi={10.4108/eai.26-5-2023.2334418} }- Haorui Jia
Year: 2023
The Impact of the Stock Index Futures “Regulation” Policy and “Deregulation” Policies on the Spot Market Volatility
MSEA
EAI
DOI: 10.4108/eai.26-5-2023.2334418
Abstract
In 2015, the China Financial Futures Exchange implemented a strong regulation policy on the trading of stock index futures. After which following the past few years, it carried out a few more policy adjustments to restore the capacity of index futures trading. This paper implies the ARMA-GARCH model to study the impact of policy adjustments on spot market volatility. The results show that: (1)The strong regulation policy during the stock market crash reduced the spot volatility; (2) The subsequent deregulation policy adjustments activated the futures’ function, which further reduced the spot market volatility.
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