ARMA-GARCH 모형을 활용한 중국 CSI300 현물, 선물과 ETF 시장 간의 변동성 효과에 관한 연구

초록

The purpose of this study is to analyze the variability effect between Chinese CSI300 spot, CSI300 futures and Huatai-PB CSI300 ETF market. This study analyzes the daily stock prices of China CSI300 spot, CSI300 futures and Huatai-PBCSI300 ETF from March 3, 2015 to June 30, 2022 using ARMA, GARCH, TGARCH, EGARCH and PARCH models. The results show that there is a variability transfer effect among CSI300 spot, CSI300 futures and Huatai-PB CSI300 ETF. First, the price variability of Chinese CSI300 spot, CSI300 futures and Huatai-PB CSI300 ETFs are not consistent. Second, the inferred results of the GARCH model have a leverage effect on the stock market and exhibit severe information asymmetry. Third, the CSI300 spot is more stable than CSI300 futures and Huatai-PB CSI300 ETF through the speculative results. These results, compared with the results of the prior study, suggest that the Chinese futures, spot, and ETF markets have a variability transfer effect and that there are differences in ETF variability between futures and futures, thus providing meaningful information for future investors entering the Chinese financial market.

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