Effect of IC500 Future to the Index

Yu Liao

doi:doi:10.11648/j.si.20160404.18

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Effect of IC500 Future to the Index

Yu Liao

Published in Science Innovation (Volume 4, Issue 4)

Received: 18 October 2016 Accepted: Published: 19 October 2016

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Abstract

This paper uses EGARCH model and VaR test method to study the effection of IC500 future to the ic500 index. The data used are devided for three periods: before, after and the whole period. After study, We figured out that IC500 future made the market more stable. The information spread faster so that the stock market can be more fair.

Published in	Science Innovation (Volume 4, Issue 4)
DOI	10.11648/j.si.20160404.18
Page(s)	216-220
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Stock Index Future, Stock Market, EGARCH Model

References

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[7]	刘玉生，杨继.股指期货推出对股票市场的影响探析[J].宏观经济研究，2007（11）
[8]	徐志勇，郭明.股指期货推出对现货市场价格影响的理论分析[J].金融研究，2008（10）
[9]	刘凤根，王晓芳.股指期货与股票市场波动性关系的实证研究[J].财贸研究，2008（3）
[10]	张宗成，往郧.股指期货波动溢出效应的实证研究——来自双变量EC-EGARCH模型的证据[J].华中科技大学学报，2009（4）
[11]	严敏，巴曙松，吴博.我国股指期货市场的价格发现与波动溢出效应[J].系统工程，2009
[12]	邢天才，张阁.中国股指期货对现货市场联动效应的实证研究——基于沪深300仿真指数期货数据的分析[J].财经问题研究，（4）
[13]	蔡敬梅，强林飞，周海鹏.中国股指期货与股票市场波动性关系的实证分析[J].统计与信息论坛，2013（1）
[14]	Engle, Robert F. Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K[J]. Inflation. Econometrica, 1982, 50: 987-1008
[15]	Bollerslev, Tim. Generalized Autoregressive Conditional Heteroskedasticity.[J] Journal of Econometrics, 1986, 31: 307-327

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APA Style

Yu Liao. (2016). Effect of IC500 Future to the Index. Science Innovation, 4(4), 216-220. https://doi.org/10.11648/j.si.20160404.18

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ACS Style

Yu Liao. Effect of IC500 Future to the Index. Sci. Innov. 2016, 4(4), 216-220. doi: 10.11648/j.si.20160404.18

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AMA Style

Yu Liao. Effect of IC500 Future to the Index. Sci Innov. 2016;4(4):216-220. doi: 10.11648/j.si.20160404.18

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@article{10.11648/j.si.20160404.18,
  author = {Yu Liao},
  title = {Effect of IC500 Future to the Index},
  journal = {Science Innovation},
  volume = {4},
  number = {4},
  pages = {216-220},
  doi = {10.11648/j.si.20160404.18},
  url = {https://doi.org/10.11648/j.si.20160404.18},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.si.20160404.18},
  abstract = {This paper uses EGARCH model and VaR test method to study the effection of IC500 future to the ic500 index. The data used are devided for three periods: before, after and the whole period. After study, We figured out that IC500 future made the market more stable. The information spread faster so that the stock market can be more fair.},
 year = {2016}
}

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TY  - JOUR
T1  - Effect of IC500 Future to the Index
AU  - Yu Liao
Y1  - 2016/10/19
PY  - 2016
N1  - https://doi.org/10.11648/j.si.20160404.18
DO  - 10.11648/j.si.20160404.18
T2  - Science Innovation
JF  - Science Innovation
JO  - Science Innovation
SP  - 216
EP  - 220
PB  - Science Publishing Group
SN  - 2328-787X
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AB  - This paper uses EGARCH model and VaR test method to study the effection of IC500 future to the ic500 index. The data used are devided for three periods: before, after and the whole period. After study, We figured out that IC500 future made the market more stable. The information spread faster so that the stock market can be more fair.
VL  - 4
IS  - 4
ER  -

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Author Information

Yu Liao

Economy, Shanghai University, City, China

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APA Style

Yu Liao. (2016). Effect of IC500 Future to the Index. Science Innovation, 4(4), 216-220. https://doi.org/10.11648/j.si.20160404.18

Copy | Download

ACS Style

Yu Liao. Effect of IC500 Future to the Index. Sci. Innov. 2016, 4(4), 216-220. doi: 10.11648/j.si.20160404.18

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AMA Style

Yu Liao. Effect of IC500 Future to the Index. Sci Innov. 2016;4(4):216-220. doi: 10.11648/j.si.20160404.18

Copy | Download

@article{10.11648/j.si.20160404.18,
  author = {Yu Liao},
  title = {Effect of IC500 Future to the Index},
  journal = {Science Innovation},
  volume = {4},
  number = {4},
  pages = {216-220},
  doi = {10.11648/j.si.20160404.18},
  url = {https://doi.org/10.11648/j.si.20160404.18},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.si.20160404.18},
  abstract = {This paper uses EGARCH model and VaR test method to study the effection of IC500 future to the ic500 index. The data used are devided for three periods: before, after and the whole period. After study, We figured out that IC500 future made the market more stable. The information spread faster so that the stock market can be more fair.},
 year = {2016}
}

Copy | Download

TY  - JOUR
T1  - Effect of IC500 Future to the Index
AU  - Yu Liao
Y1  - 2016/10/19
PY  - 2016
N1  - https://doi.org/10.11648/j.si.20160404.18
DO  - 10.11648/j.si.20160404.18
T2  - Science Innovation
JF  - Science Innovation
JO  - Science Innovation
SP  - 216
EP  - 220
PB  - Science Publishing Group
SN  - 2328-787X
UR  - https://doi.org/10.11648/j.si.20160404.18
AB  - This paper uses EGARCH model and VaR test method to study the effection of IC500 future to the ic500 index. The data used are devided for three periods: before, after and the whole period. After study, We figured out that IC500 future made the market more stable. The information spread faster so that the stock market can be more fair.
VL  - 4
IS  - 4
ER  -

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