The Impact of Index Futures on Spot Market Volatility in China

被引：21
|
作者：
Xie, Shiqing [1 ]
Huang, Jiajun [2 ]
机构：
[1] Peking Univ, Sch Econ, Beijing 100871, Peoples R China
[2] Bank China, Macao, Peoples R China
来源：
EMERGING MARKETS FINANCE AND TRADE | 2014年 / 50卷
关键词：
CSI; 300; index futures; spot market; volatility; STOCK-PRICE VOLATILITY; TRADING ACTIVITY; INFORMATION; RETURN;
D O I：
10.2753/REE1540-496X5001S111
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Using daily data of the China Securities Index (CSI) 300 between 2005 and 2012, we employ a set of GARCH models to investigate the impact of index futures trading on the volatility of the spot market in China. Our three main findings are as follows: (1) the launch of index futures does not decrease the volatility of the spot market; (2) there is a decrease in sensitivity to new information while sensitivity to historical information increases after introduction of the CSI 300 index futures; and (3) no leverage effect is found either before or after the introduction of the CSI 300 index futures.
引用
收藏
页码：167 / 177
页数：11
相关论文
共 50 条
  • [1] The Impact of Stock Index Futures on Spot Market Volatility
    Yao, Yao
    [J]. PROCEEDINGS OF THE 2016 INTERNATIONAL CONFERENCE ON EDUCATION, SPORTS, ARTS AND MANAGEMENT ENGINEERING, 2016, 54 : 1244 - 1247
  • [2] An Empirical Analysis of the Effects of the Stock Index Futures on the Spot Market Volatility of China
    Che, Hui-Chun
    Cao, Fang
    [J]. PROCEEDINGS OF THE 2014 INTERNATIONAL CONFERENCE ON ECONOMIC MANAGEMENT AND TRADE COOPERATION, 2014, 107 : 249 - 254
  • [3] The impact of futures trading on spot index volatility: evidence for Taiwan index futures
    Chiang, MH
    Wang, CY
    [J]. APPLIED ECONOMICS LETTERS, 2002, 9 (06) : 381 - 385
  • [4] Study on the influence of stock index futures on the volatility of spot market Take the CHINA STOCK INDEX FUTURES 500 AS AN EXAMPLE
    Zhuhaidan
    [J]. 2019 INTERNATIONAL CONFERENCE ON ECONOMIC MANAGEMENT AND MODEL ENGINEERING (ICEMME 2019), 2019, : 385 - 388
  • [5] Volatility Spillovers between the Stock Index Futures and Its Underlying Spot Market in China
    Feng Jin
    Jiang Yang
    [J]. 2013 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING (ICMSE), 2013, : 1627 - 1632
  • [6] Intraday Volatility Spillovers between Index Futures and Spot Market: Evidence from China
    Zhou, Zhou
    Dong, Huiyan
    Wang, Shouyang
    [J]. 2ND INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT, ITQM 2014, 2014, 31 : 721 - 730
  • [7] Analysis of the Volatility of Stock Index Futures on the Spot Market Return
    Zhao Jintao
    [J]. PROCEEDINGS OF THE 23RD INTERNATIONAL BUSINESS ANNUAL CONFERENCE (2016), BKS ONE AND TWO, 2016, : 889 - 893
  • [8] Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets
    Bae, SC
    Kwon, TH
    Park, JW
    [J]. JOURNAL OF FUTURES MARKETS, 2004, 24 (12) : 1195 - 1228
  • [9] The Impact of Index Futures on Market Efficiency and Volatility of Spot Index: An Empirical Evidence from Emerging Economies (BRICS)
    Malik, Imran Riaz
    Tarique, Jahanzaib
    [J]. VISION 2020: SUSTAINABLE ECONOMIC DEVELOPMENT AND APPLICATION OF INNOVATION MANAGEMENT, 2018, : 6106 - 6123
  • [10] The Impact of Stock Index Futures on the Turkish Spot Market
    Caglayan, Ebru
    [J]. JOURNAL OF EMERGING MARKET FINANCE, 2011, 10 (01) : 73 - 91
12345