| As a kind of important financial derivative,stock index future has two important functions: price discovering and hedging.Since the 1980 s,scholars have conducted extensive researches on it.There are lots of countries,such as the United States have successively established and improved a robust market operating system of stock index future.Because the stock index futures are based on the stock price index,the frequent fluctuations in the stock markets of various countries in recent years have caused domestic and foreign scholars to pay much attention and research on the volatility of stock index futures.These researches on the volatility mainly focus on the characteristics of the volatility and the spillover effects.By studying the characteristics of the volatility,this article finds the relevant laws and trends of the price fluctuations of the stock index futures.Researches on volatility spillover effects can reveal the linkage between the stock index future market and the stock market.Domestic and foreign scholars have conducted so many researches on these two issues.This article selects seven representative countries and regions(US,Japan,the United Kingdom,Hong Kong,China,India,and Brazil)to analyzes the volatility characteristics of each stock index future contract and the spillover effects between spot markets and future markets over time.The trading and regulatory systems of the stock index future market are thoroughly compared and how they influence the volatility is analyzed.It is intended to help regulators and investors understand more clearly the volatility characteristics and laws of stock index futures in various markets,the linkage of stock index futures and the stock market,and the establishment of system.It also can provide a number of policies for regulators and investors’ risk decisions.The basis of analysis provides a certain reference for the development and innovation of financial products in the future.The main contents and conclusions of this study are as follows:First,this paper studies the volatility characteristics of stock index future contracts in seven countries and regions in the sample.Through descriptive analysis and graphical display,we have initially discovered volatility clustering and the leptokurtosis and fat tails of time series.Then,the ARCH LM test was conducted.It was found that stock index future in all markets had obvious heteroscedasticity,and an MRS-GJR-GARCH model was constructed.Using the MCMC estimation method,the volatility of futures was divided into two types,including high volatility and low volatility.Through empirical research,stock index future in seven countries and regions all have significant volatility clustering and asymmetric effects of volatility.As for the sustainability of volatility,the US S&P 500 Index futures have obvious volatility persistence under two volatility types,and the effect is even more pronounced.The volatility of the FTSE 100 futures in the UK is relatively stable.Second,this paper studies the volatility spillover relationship between stock index future and spot in seven countries and regions.By constructing the volatility spillover index based on the structural vector autoregressive model,the total volatility spillover effect,the directional volatility spillover effect and the net volatility spillover effect between the stock index futures and the spot market are measured.At the same time,empirical analysis studies the effect of stock index future volume on spot volatility.Through the study,there is a bi-directional spillover effect between the stock index futures and the spot market.Among them,the two-way spillover effect between the spot market and future market of the United States and Hong Kong is relatively obviously.It shows that the flow of information between stock and stock index futures is balanced and the flow rate is faster.Chinese stock index future has a large volatility spillover effect on the spot market,far more than the spillover effect of spot market on future market.It shows that the stock index futures expanded the impact of the stock market disaster.The two markets in Brazil and India have poor liquidity and there is a weak two-way spillover effect.Through the analysis of the relationship between stock index futures volume and spot volatility,it is basically found that future volume could increases spot volatility.Third,this article compares and analyzes a series of trading systems for each stock index future market and explains how the trading system and the regulatory system have an impact on the volatility of stock index futures.The trading system of stock index future in mature markets is relatively advanced and perfect,which can effectively control price fluctuations and control the occurrence of settlement risks.In particular,the trading rules set by the Chicago Mercantile Exchange(CME)on the Standard & Poor’s 500 Index futures contracts are relatively complete.They use price fluctuation restrictions and the Circuit Breaker to control the price fluctuations of stock index future contracts,especially at the settlement date.In addition,SPAN,the world’s leading margin calculation method,has been designed and launched,which is accepted by a lot of countries.Based on the experience of mature markets,most of the emerging markets develop and improve their own trading systems which is refer to the development history and characteristics of their own stock index future.This article finds that the circuit breaker and the SPAN calculation method can decrease the volatility of the stock index futures and maintain the stability of the markets as well.Except for the trading system,the regulatory system can also influence the volatility of the stock index future.This article introduces the development of the supervision institions of the seven countries and regions and compares the characteritics of the regulatory system.The results show that the countries and regions with similar regulatory system also have similar volatility charactertistics.Furthermore,the different trading and regulatory systems can cause different investors structures,which also influence the volatility characteristics.Finally,this article draws the conclusion and makes suggestion for the development of the Chinese stock index futures market through the results from international comparison. |
PDF Full Text Request