Effects of Futures Trading Constraints on Volatility of Stock Market

  • Ming Fang, Chiu-Lan Chang, Ziyang Ou
Keywords: Trading constraints, Speculation, Price fluctuation, Market efficiency, Volatility.

Abstract

Financial regulations and policies affect the financial market efficiency. Due to China's stock market experienced a serious slump from June to August in 2015, China Financial Futures Exchange (CFFEX) subsequently implements constraints on trading futures aiming to limit the speculation in futures market. To explore the impact of trading constraints on index futures on the volatility of stock market and focuses on the change in CSI300 volatility before and after restricting futures from 2015 to 2016. The trading constraints on futures help decrease the stock market’s price fluctuation and effectively calm down the stock market. The results suggest that the proper trading constraints may be necessary while the market is irrational and the findings provide insights for the investors and regulators.

Published
2020-09-29
How to Cite
Ming Fang, Chiu-Lan Chang, Ziyang Ou. (2020). Effects of Futures Trading Constraints on Volatility of Stock Market. Design Engineering, 01 - 07. https://doi.org/10.17762/de.vi.587
Section
Articles