To explore the influence factors of India stock on the stock index fluctuation.印度股指期货对股指波动原因的探讨
06-14, 2014
1, India NIFTY index and index futures
一、印度NIFTY指数及指数期货
The full name of S&P CNX NIFTY50 NIFTY index, also called the standard & Poor's 50 stock market index, is the national stock exchange of India (NSE)'s main index, it is a market value weighted index. The index of 50 stocks selected from 22 industries, the average stock trading volume of the last six months the total stock exchange listing in the national stock exchange of India of 45124% April 10, 2007, its market capitalisation accounted for about 57192% of the total value of. So the NIFTY index is an ideal stock price index futures index.
NIFTY指数全称S&P CNX NIFTY50，又叫标准普尔50大盘股指数，是印度国家证券交易所（NSE）的主要指数，它是一个市值加权指数。该指数的50只成份股选自于22个行业，这些股票最近六个月的平均交易额约占在印度国家证券交易所挂牌交易的股票交易总额的45124%，其2007年4月10日的市值约占总市值的57192%。所以NIFTY指数是一种比较理想的股票价格指数期货合约的标的指数。
National stock exchange of India (NSE) in 2000 June launch of the NIFTY index futures, and permit the Singapore Stock Exchange (SGX) in 2000 September launch of the NIFTY index futures, in order to increase the volume of NSE market and NIFTY stock index futures. At present, the NIFTY stock index futures has become a stock index futures contract before the turnover of ten world. According to the British "futures options weekly", 2006 1-6 month NIFTY futures contracts trading volume for the 38850982 Zhang Heyue, ranked fourth in the world.
2, empirical research
二、实证研究
印度国家证券交易所（NSE）于2000年6月推出NIFTY指数期货，之后又许可新加坡证券交易所（SGX）于2000年9月推出NIFTY指数期货，以此增加NSE市场和NIFTY股指期货的交易量。目前，NIFTY股指期货已经成为世界成交量前十大的股指期货合约。根据英国《期货期权周刊》的统计，2006年1-6月NIFTY股指期货合约成交量为38850982张合约，排名世界第4。
(1) the stock index daily return rate of descriptive statistics
（一）股票指数日收益率数据的描述性统计
The daily closing price of India stock index sequence selection, distribution system of India stock market rate of return. The data are from the national stock exchange of India (NSE) database http://www.nse-india.com, taking into account the national stock exchange of India launched the N IFTY stock index futures at home in June 12, 2000, from April 12, 1989 to April 12, 2010 a total of 4724 N IFTY index.
选取印度股票指数的每日收盘价序列，系统研究印度股票市场日收益率的分布特征。本文数据全部来自于印度国家证券交易所（NSE）数据库http：//www.nse-india.com，考虑到印度国家证券交易所于2000年6月12日在本土推出N IFTY股指期货，选取1989年4月12日至2010年4月12日的N IFTY指数共4724#p#分页标题#e#
Daily return series of R index has the characteristics of left deviation, kurtosis and heavy tail. The skewness and kurtosis values from =-0.08684 =9.155324, and the standard normal distribution (S=0, K=3), on the yield of skewness value is negative, showed that the distribution of the Hang Seng Index daily return is left (negative) deviation, kurtosis value is positive and significantly higher than the normal distribution of 3, showed that the India stock index the return distribution density curve tails off to the left, characteristic is extremely obvious peak and fat tail distribution. While the JB normality test also shows that the p value close to 0, indicating at least can reject the null hypothesis at the 99% confidence level, namely the stock daily return series obviously different Yu Zheng normal distribution, so we can see that the NIFTY index daily return rate relief wavy, has obvious volatility clustering. Preliminary can determine its fluctuation has ARCH effect.
(two) the establishment of data processing and model
1 stationary test
Using Eviews 6 to yield sequence R ADF unit root test, selecting the lag order 7, does not contain the constant and time trend, calculated ADF statistics is -24.22338, and at the 1% level of ADF statistics for the critical value -2.565453, indicating that at least we can reject the null hypothesis of unit root in the existence of confidence level 99%, namely the stock daily return series is R stationary.
Similarly to the launch of stock index futures in front of the benefits of ADF unit root test sequence R1 rate, selecting the lag order 5, also includes constant and time trend, calculated ADF statistics is -19.11190, and at the 1% level of ADF statistics for the critical value -2.565984, indicating that at least we can reject the null hypothesis are unit root at the 99% confidence level, namely the stock daily return series is R1 stationary.
Similarly to the launch of stock index futures returns after the sequence R2 ADF unit root test, selecting the lag order 4, also includes constant and time trend, calculated ADF statistics is -21.90474, and at the 1% level ADF statistics of the critical value is -2.565907, indicating that at least we can reject the null hypothesis for units root at 99% confidence level, namely the stock daily return series is R1 stationary.
2.ARCH effect test
Self test method most commonly used autoregressive conditional heteroscedasticity test is the Lagrange multiplier method, namely LM test. Inspection of residual sequence R after fitting the presence of the ARCH effect, the use of Eviews6.0 software, do ARCH-LM test for 8 period lag residuals after fitting:
At a given significance level 1% and 8 degrees of freedom case, the LM value is equal to 500.7502, concomitant probability p 0, less than the 0.01 significance level, so the residual sequence exists significant ARCH effect, suitable for the use of GARCH model.
Similarly, residual test sequence R1 and sequence R2 after fitting the presence of the ARCH effect, LM value of the concomitant introduction respectively are 0.00000., less than 0.01, all ARCH effect exists in the residual sequence R1 and R2, suitable for the use of GARCH model.#p#分页标题#e#
3.GARCH model
The general formula for the GARCH model:
(4-1)
(4-2)
(4-3)
Among them, (4-1) represents the mean equation yields sequence R; (4-3) represents the variance equation, which is composed of ARCH (P) and GARCH (q) components (i=1, ai,...... P J (j=1) and β,... ..Q) are the coefficients of ARCH and GARCH terms
In order to launch investigation of India stock index of India stock index, dummy variable, where Dt=0 (t=1989 year in April 12th to June 12, 2000), Dt=1 (t=2000 year in June 12th ~ April 12, 2010).
A, India NIFTY index and index futures
The full name of S&P CNX NIFTY50 NIFTY index, also called the standard & Poor's 50 stock market index, is the national stock exchange of India (NSE)'s main index, it is a market value weighted index. The index of 50 stocks selected from 22 industries, the average stock trading volume of the last six months the total stock exchange listing in the national stock exchange of India of 45124% April 10, 2007, its market capitalisation accounted for about 57192% of the total value of. So the NIFTY index is an ideal stock price index futures index.
National stock exchange of India (NSE) in 2000 June launch of the NIFTY index futures, and permit the Singapore Stock Exchange (SGX) in 2000 September launch of the NIFTY index futures, in order to increase the volume of NSE market and NIFTY stock index futures. At present, the NIFTY stock index futures has become a stock index futures contract before the turnover of ten world. According to the British "futures options weekly", 2006 1-6 month NIFTY futures contracts trading volume for the 38850982 Zhang Heyue, ranked fourth in the world. [this article from: lunwen.1kejian.com]
Two, empirical research
(a) the stock index daily return rate of descriptive statistics
The daily closing price of India stock index sequence selection, distribution system of India stock market rate of return. The data are from the national stock exchange of India (NSE) database, taking into account the national stock exchange of India launched the N IFTY stock index futures at home in June 12, 2000, from April 12, 1989 to April 12, 2010 a total of 4724 N IFTY index.
Daily return series of R index has the characteristics of left deviation, kurtosis and heavy tail. The skewness and kurtosis values from =-0.08684 =9.155324, and the standard normal distribution (S=0, K=3), on the yield of skewness value is negative, showed that the distribution of the Hang Seng Index daily return is left (negative) deviation, kurtosis value is positive and significantly higher than the normal distribution of 3, showed that the India stock index the return distribution density curve tails off to the left, characteristic is extremely obvious peak and fat tail distribution. While the JB normality test also shows that the p value close to 0, indicating at least can reject the null hypothesis at the 99% confidence level, namely the stock daily return series obviously different Yu Zheng normal distribution, so we can see that the NIFTY index daily return rate relief wavy, has obvious volatility clustering. Preliminary can determine its fluctuation has ARCH effect. [this article from: lunwen.1kejian.com]#p#分页标题#e#
(two) the establishment of data processing and model
1 stationary test
Using Eviews 6 to yield sequence R ADF unit root test, selecting the lag order 7, does not contain the constant and time trend, calculated ADF statistics is -24.22338, and at the 1% level of ADF statistics for the critical value -2.565453, indicating that at least we can reject the null hypothesis of unit root in the existence of confidence level 99%, namely the stock daily return series is R stationary.
Similarly to the launch of stock index futures in front of the benefits of ADF unit root test sequence R1 rate, selecting the lag order 5, also includes constant and time trend, calculated ADF statistics is -19.11190, and at the 1% level of ADF statistics for the critical value -2.565984, indicating that at least we can reject the null hypothesis are unit root at the 99% confidence level, namely the stock daily return series is R1 stationary.
Similarly to the launch of stock index futures returns after the sequence R2 ADF unit root test, selecting the lag order 4, also includes constant and time trend, calculated ADF statistics is -21.90474, and at the 1% level ADF statistics of the critical value is -2.565907, indicating that at least we can reject the null hypothesis for units root at 99% confidence level, namely the stock daily return series is R1 stationary.
2.ARCH effect test
Self test method most commonly used autoregressive conditional heteroscedasticity test is the Lagrange multiplier method, namely LM test. Inspection of residual sequence R after fitting the presence of the ARCH effect, the use of Eviews6.0 software, do ARCH-LM test for 8 period lag residuals after fitting:
At a given significance level 1% and 8 degrees of freedom case, the LM value is equal to 500.7502, concomitant probability p 0, less than the 0.01 significance level, so the residual sequence exists significant ARCH effect, suitable for the use of GARCH model.
Similarly, residual test sequence R1 and sequence R2 after fitting the presence of the ARCH effect, LM value of the concomitant introduction respectively are 0.00000., less than 0.01, all ARCH effect exists in the residual sequence R1 and R2, suitable for the use of GARCH model.
3.GARCH model
The general formula for the GARCH model:
(4-1)
(4-2)
(4-3)
Among them, (4-1) represents the mean equation yields sequence R; (4-3) represents the variance equation, which is composed of ARCH (P) and GARCH (q) components (i=1, ai,...... P J (j=1) and β,... ..Q) are the coefficients of ARCH and GARCH terms
In order to launch investigation of India stock index of India stock index, dummy variable, where Dt=0 (t=1989 year in April 12th to June 12, 2000), Dt=1 (t=2000 year in June 12th ~ April 12, 2010).
Model into:
(4-4)
(4-5)
(4-6)
By using ARCH (1) GARCH (1), ARCH (1) GARCH (2), ARCH (2) GARCH (1) and ARCH (2) GARCH (2) model fitting of the conditional variance equation, the results are as follows:#p#分页标题#e#
(4-7)
2 the exchange supervision
Stock index futures exchange hand using technology, advantage and the information itself, occur to constrain trading violations by establishing a series of rules and regulations. On the other hand, improve the exchange regulatory system, establishing an internal supervision (around eighty-eighth pages) (continued from page eighty-sixth) rules and procedures, effectively prevent the occurrence of insider trading.
(two) enhanced transparency [futures market index this information from: lunwen.1kejian.com]
Disclosure of information
Including the quality information and quantity of information disclosure, the former refers to the coherence of information organization's overall business objectives, risk strategy, transaction behavior and the goal as well as the internal control disclosure risk measures. The latter refers to the behavior of market, credit risk, market liquidity, profitability, market risk information disclosure. Enhance the transparency of market information to enable investors to the stock index futures, detailed, clear understanding of transaction and the changes of the market, the investors are no longer blindly follow the trend, false information from malicious publishing misleading help, enhance the stability of the market, so as to prevent the liquidity risk and market risk.
(three) the management mechanism to deal with unexpected risk
Emergency risk management mechanism can be carried out from the following aspects: A. prevent international hot money over the impact of stock index futures and spot market. To interfere with B. government, which mainly includes the policy guidance, to formulate laws, market transactions and capital to rescue the market, preventing market manipulation, prevention of unexpected market risk. The government can establish the risk management of the fund, so as to stabilize the market risk of sudden. C. in the actual operation, the reasonable introduction of fuse mechanism. In the face of unexpected events in front, the appropriate use of fuse mechanism can stop the panic selling, contribute to the rational market operation. [this article from: lunwen.1kejian.com]
(four) reduce policy intervention
When significant risk of economic crisis, the political crisis and the impact of capital can't resist, it is necessary for the government, also have the obligation to moderate intervention, but under normal circumstances, China should respect the laws of the market. Stock index futures for stock market investors to provide the system arrangement of risk, can avoid the risk of stock market, there is excessive speculation conducive to inhibit the stock market. Therefore, management should respect the laws of the market, reduce the stock market intervention, in order to facilitate the stock market and stock index futures trading in accordance with the law of value operation, reduce the impact of policy on the stock market and the stock index futures market.
Reference.#p#分页标题#e#
Robinson G.The Effects of Futures Trading on Cash Markets Volatility：Evidence from London Stock Exchange[J].Review of FuturesMarkets，1994（2）：429-459.
[7]Hsinan Hsu，Janchung Wang.Price Expectation and the Pricing of Stock Index Futures[J].Review of Quantitative Finance and Accounting，2004（23）：167-184.
一、印度NIFTY指数及指数期货
The full name of S&P CNX NIFTY50 NIFTY index, also called the standard & Poor's 50 stock market index, is the national stock exchange of India (NSE)'s main index, it is a market value weighted index. The index of 50 stocks selected from 22 industries, the average stock trading volume of the last six months the total stock exchange listing in the national stock exchange of India of 45124% April 10, 2007, its market capitalisation accounted for about 57192% of the total value of. So the NIFTY index is an ideal stock price index futures index.
NIFTY指数全称S&P CNX NIFTY50，又叫标准普尔50大盘股指数，是印度国家证券交易所（NSE）的主要指数，它是一个市值加权指数。该指数的50只成份股选自于22个行业，这些股票最近六个月的平均交易额约占在印度国家证券交易所挂牌交易的股票交易总额的45124%，其2007年4月10日的市值约占总市值的57192%。所以NIFTY指数是一种比较理想的股票价格指数期货合约的标的指数。
National stock exchange of India (NSE) in 2000 June launch of the NIFTY index futures, and permit the Singapore Stock Exchange (SGX) in 2000 September launch of the NIFTY index futures, in order to increase the volume of NSE market and NIFTY stock index futures. At present, the NIFTY stock index futures has become a stock index futures contract before the turnover of ten world. According to the British "futures options weekly", 2006 1-6 month NIFTY futures contracts trading volume for the 38850982 Zhang Heyue, ranked fourth in the world.
2, empirical research
二、实证研究
印度国家证券交易所（NSE）于2000年6月推出NIFTY指数期货，之后又许可新加坡证券交易所（SGX）于2000年9月推出NIFTY指数期货，以此增加NSE市场和NIFTY股指期货的交易量。目前，NIFTY股指期货已经成为世界成交量前十大的股指期货合约。根据英国《期货期权周刊》的统计，2006年1-6月NIFTY股指期货合约成交量为38850982张合约，排名世界第4。
(1) the stock index daily return rate of descriptive statistics
（一）股票指数日收益率数据的描述性统计
The daily closing price of India stock index sequence selection, distribution system of India stock market rate of return. The data are from the national stock exchange of India (NSE) database http://www.nse-india.com, taking into account the national stock exchange of India launched the N IFTY stock index futures at home in June 12, 2000, from April 12, 1989 to April 12, 2010 a total of 4724 N IFTY index.
选取印度股票指数的每日收盘价序列，系统研究印度股票市场日收益率的分布特征。本文数据全部来自于印度国家证券交易所（NSE）数据库http：//www.nse-india.com，考虑到印度国家证券交易所于2000年6月12日在本土推出N IFTY股指期货，选取1989年4月12日至2010年4月12日的N IFTY指数共4724#p#分页标题#e#
Daily return series of R index has the characteristics of left deviation, kurtosis and heavy tail. The skewness and kurtosis values from =-0.08684 =9.155324, and the standard normal distribution (S=0, K=3), on the yield of skewness value is negative, showed that the distribution of the Hang Seng Index daily return is left (negative) deviation, kurtosis value is positive and significantly higher than the normal distribution of 3, showed that the India stock index the return distribution density curve tails off to the left, characteristic is extremely obvious peak and fat tail distribution. While the JB normality test also shows that the p value close to 0, indicating at least can reject the null hypothesis at the 99% confidence level, namely the stock daily return series obviously different Yu Zheng normal distribution, so we can see that the NIFTY index daily return rate relief wavy, has obvious volatility clustering. Preliminary can determine its fluctuation has ARCH effect.
(two) the establishment of data processing and model
1 stationary test
Using Eviews 6 to yield sequence R ADF unit root test, selecting the lag order 7, does not contain the constant and time trend, calculated ADF statistics is -24.22338, and at the 1% level of ADF statistics for the critical value -2.565453, indicating that at least we can reject the null hypothesis of unit root in the existence of confidence level 99%, namely the stock daily return series is R stationary.
Similarly to the launch of stock index futures in front of the benefits of ADF unit root test sequence R1 rate, selecting the lag order 5, also includes constant and time trend, calculated ADF statistics is -19.11190, and at the 1% level of ADF statistics for the critical value -2.565984, indicating that at least we can reject the null hypothesis are unit root at the 99% confidence level, namely the stock daily return series is R1 stationary.
Similarly to the launch of stock index futures returns after the sequence R2 ADF unit root test, selecting the lag order 4, also includes constant and time trend, calculated ADF statistics is -21.90474, and at the 1% level ADF statistics of the critical value is -2.565907, indicating that at least we can reject the null hypothesis for units root at 99% confidence level, namely the stock daily return series is R1 stationary.
2.ARCH effect test
Self test method most commonly used autoregressive conditional heteroscedasticity test is the Lagrange multiplier method, namely LM test. Inspection of residual sequence R after fitting the presence of the ARCH effect, the use of Eviews6.0 software, do ARCH-LM test for 8 period lag residuals after fitting:
At a given significance level 1% and 8 degrees of freedom case, the LM value is equal to 500.7502, concomitant probability p 0, less than the 0.01 significance level, so the residual sequence exists significant ARCH effect, suitable for the use of GARCH model.
Similarly, residual test sequence R1 and sequence R2 after fitting the presence of the ARCH effect, LM value of the concomitant introduction respectively are 0.00000., less than 0.01, all ARCH effect exists in the residual sequence R1 and R2, suitable for the use of GARCH model.#p#分页标题#e#
3.GARCH model
The general formula for the GARCH model:
(4-1)
(4-2)
(4-3)
Among them, (4-1) represents the mean equation yields sequence R; (4-3) represents the variance equation, which is composed of ARCH (P) and GARCH (q) components (i=1, ai,...... P J (j=1) and β,... ..Q) are the coefficients of ARCH and GARCH terms
In order to launch investigation of India stock index of India stock index, dummy variable, where Dt=0 (t=1989 year in April 12th to June 12, 2000), Dt=1 (t=2000 year in June 12th ~ April 12, 2010).
A, India NIFTY index and index futures
The full name of S&P CNX NIFTY50 NIFTY index, also called the standard & Poor's 50 stock market index, is the national stock exchange of India (NSE)'s main index, it is a market value weighted index. The index of 50 stocks selected from 22 industries, the average stock trading volume of the last six months the total stock exchange listing in the national stock exchange of India of 45124% April 10, 2007, its market capitalisation accounted for about 57192% of the total value of. So the NIFTY index is an ideal stock price index futures index.
National stock exchange of India (NSE) in 2000 June launch of the NIFTY index futures, and permit the Singapore Stock Exchange (SGX) in 2000 September launch of the NIFTY index futures, in order to increase the volume of NSE market and NIFTY stock index futures. At present, the NIFTY stock index futures has become a stock index futures contract before the turnover of ten world. According to the British "futures options weekly", 2006 1-6 month NIFTY futures contracts trading volume for the 38850982 Zhang Heyue, ranked fourth in the world. [this article from: lunwen.1kejian.com]
Two, empirical research
(a) the stock index daily return rate of descriptive statistics
The daily closing price of India stock index sequence selection, distribution system of India stock market rate of return. The data are from the national stock exchange of India (NSE) database, taking into account the national stock exchange of India launched the N IFTY stock index futures at home in June 12, 2000, from April 12, 1989 to April 12, 2010 a total of 4724 N IFTY index.
Daily return series of R index has the characteristics of left deviation, kurtosis and heavy tail. The skewness and kurtosis values from =-0.08684 =9.155324, and the standard normal distribution (S=0, K=3), on the yield of skewness value is negative, showed that the distribution of the Hang Seng Index daily return is left (negative) deviation, kurtosis value is positive and significantly higher than the normal distribution of 3, showed that the India stock index the return distribution density curve tails off to the left, characteristic is extremely obvious peak and fat tail distribution. While the JB normality test also shows that the p value close to 0, indicating at least can reject the null hypothesis at the 99% confidence level, namely the stock daily return series obviously different Yu Zheng normal distribution, so we can see that the NIFTY index daily return rate relief wavy, has obvious volatility clustering. Preliminary can determine its fluctuation has ARCH effect. [this article from: lunwen.1kejian.com]#p#分页标题#e#
(two) the establishment of data processing and model
1 stationary test
Using Eviews 6 to yield sequence R ADF unit root test, selecting the lag order 7, does not contain the constant and time trend, calculated ADF statistics is -24.22338, and at the 1% level of ADF statistics for the critical value -2.565453, indicating that at least we can reject the null hypothesis of unit root in the existence of confidence level 99%, namely the stock daily return series is R stationary.
Similarly to the launch of stock index futures in front of the benefits of ADF unit root test sequence R1 rate, selecting the lag order 5, also includes constant and time trend, calculated ADF statistics is -19.11190, and at the 1% level of ADF statistics for the critical value -2.565984, indicating that at least we can reject the null hypothesis are unit root at the 99% confidence level, namely the stock daily return series is R1 stationary.
Similarly to the launch of stock index futures returns after the sequence R2 ADF unit root test, selecting the lag order 4, also includes constant and time trend, calculated ADF statistics is -21.90474, and at the 1% level ADF statistics of the critical value is -2.565907, indicating that at least we can reject the null hypothesis for units root at 99% confidence level, namely the stock daily return series is R1 stationary.
2.ARCH effect test
Self test method most commonly used autoregressive conditional heteroscedasticity test is the Lagrange multiplier method, namely LM test. Inspection of residual sequence R after fitting the presence of the ARCH effect, the use of Eviews6.0 software, do ARCH-LM test for 8 period lag residuals after fitting:
At a given significance level 1% and 8 degrees of freedom case, the LM value is equal to 500.7502, concomitant probability p 0, less than the 0.01 significance level, so the residual sequence exists significant ARCH effect, suitable for the use of GARCH model.
Similarly, residual test sequence R1 and sequence R2 after fitting the presence of the ARCH effect, LM value of the concomitant introduction respectively are 0.00000., less than 0.01, all ARCH effect exists in the residual sequence R1 and R2, suitable for the use of GARCH model.
3.GARCH model
The general formula for the GARCH model:
(4-1)
(4-2)
(4-3)
Among them, (4-1) represents the mean equation yields sequence R; (4-3) represents the variance equation, which is composed of ARCH (P) and GARCH (q) components (i=1, ai,...... P J (j=1) and β,... ..Q) are the coefficients of ARCH and GARCH terms
In order to launch investigation of India stock index of India stock index, dummy variable, where Dt=0 (t=1989 year in April 12th to June 12, 2000), Dt=1 (t=2000 year in June 12th ~ April 12, 2010).
Model into:
(4-4)
(4-5)
(4-6)
By using ARCH (1) GARCH (1), ARCH (1) GARCH (2), ARCH (2) GARCH (1) and ARCH (2) GARCH (2) model fitting of the conditional variance equation, the results are as follows:#p#分页标题#e#
(4-7)
2 the exchange supervision
Stock index futures exchange hand using technology, advantage and the information itself, occur to constrain trading violations by establishing a series of rules and regulations. On the other hand, improve the exchange regulatory system, establishing an internal supervision (around eighty-eighth pages) (continued from page eighty-sixth) rules and procedures, effectively prevent the occurrence of insider trading.
(two) enhanced transparency [futures market index this information from: lunwen.1kejian.com]
Disclosure of information
Including the quality information and quantity of information disclosure, the former refers to the coherence of information organization's overall business objectives, risk strategy, transaction behavior and the goal as well as the internal control disclosure risk measures. The latter refers to the behavior of market, credit risk, market liquidity, profitability, market risk information disclosure. Enhance the transparency of market information to enable investors to the stock index futures, detailed, clear understanding of transaction and the changes of the market, the investors are no longer blindly follow the trend, false information from malicious publishing misleading help, enhance the stability of the market, so as to prevent the liquidity risk and market risk.
(three) the management mechanism to deal with unexpected risk
Emergency risk management mechanism can be carried out from the following aspects: A. prevent international hot money over the impact of stock index futures and spot market. To interfere with B. government, which mainly includes the policy guidance, to formulate laws, market transactions and capital to rescue the market, preventing market manipulation, prevention of unexpected market risk. The government can establish the risk management of the fund, so as to stabilize the market risk of sudden. C. in the actual operation, the reasonable introduction of fuse mechanism. In the face of unexpected events in front, the appropriate use of fuse mechanism can stop the panic selling, contribute to the rational market operation. [this article from: lunwen.1kejian.com]
(four) reduce policy intervention
When significant risk of economic crisis, the political crisis and the impact of capital can't resist, it is necessary for the government, also have the obligation to moderate intervention, but under normal circumstances, China should respect the laws of the market. Stock index futures for stock market investors to provide the system arrangement of risk, can avoid the risk of stock market, there is excessive speculation conducive to inhibit the stock market. Therefore, management should respect the laws of the market, reduce the stock market intervention, in order to facilitate the stock market and stock index futures trading in accordance with the law of value operation, reduce the impact of policy on the stock market and the stock index futures market.
Reference.#p#分页标题#e#
Robinson G.The Effects of Futures Trading on Cash Markets Volatility：Evidence from London Stock Exchange[J].Review of FuturesMarkets，1994（2）：429-459.
[7]Hsinan Hsu，Janchung Wang.Price Expectation and the Pricing of Stock Index Futures[J].Review of Quantitative Finance and Accounting，2004（23）：167-184.
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