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
  • [21] Herd behaviors in index futures trading: Driving factors and impact on market volatility
    Wu, Ming-Hung
    Hu, Wan-Ting
    Weng, Pei-Shih
    [J]. JOURNAL OF FUTURES MARKETS, 2023, 43 (10) : 1373 - 1392
  • [22] China 's futures market volatility and sectoral stock market volatility prediction
    Zeng, Qing
    Zhang, Jixiang
    Zhong, Juandan
    [J]. ENERGY ECONOMICS, 2024, 132
  • [23] Analyzing the impact of futures trading on spot price volatility: Evidence from the spot electricity market in France and Germany
    Kalantzis, Fotis G.
    Milonas, Nikolaos T.
    [J]. ENERGY ECONOMICS, 2013, 36 : 454 - 463
  • [24] INTRADAY RELATIONSHIPS AMONG INDEX ARBITRAGE, SPOT AND FUTURES PRICE VOLATILITY, AND SPOT MARKET VOLUME - A TRANSACTIONS DATA TEST
    CHAN, K
    CHUNG, YP
    [J]. JOURNAL OF BANKING & FINANCE, 1993, 17 (04) : 663 - 687
  • [25] Volatility linkages in the spot and futures market in Australia: a copula approach
    Cuong Nguyen
    Bhatti, M. Ishaq
    Hayat, Aziz
    [J]. QUALITY & QUANTITY, 2014, 48 (05) : 2589 - 2603
  • [26] Foreign Exchange Futures Trading and Spot Market Volatility in Thailand
    Jongadsayakul, Woradee
    [J]. RISKS, 2024, 12 (07)
  • [27] Volatility linkages in the spot and futures market in Australia: a copula approach
    Cuong Nguyen
    M. Ishaq Bhatti
    Aziz Hayat
    [J]. Quality & Quantity, 2014, 48 : 2589 - 2603
  • [28] INDEX FUTURES TRADING AND STOCK MARKET VOLATILITY IN CHINA: A DIFFERENCE-IN-DIFFERENCE APPROACH
    Xie, Shiqing
    Mo, Taiping
    [J]. JOURNAL OF FUTURES MARKETS, 2014, 34 (03) : 282 - 297
  • [29] Market volatility and the demand for hedging in stock index futures
    Chang, E
    Chou, RY
    Nelling, EF
    [J]. JOURNAL OF FUTURES MARKETS, 2000, 20 (02) : 105 - 125
  • [30] Index futures trading and spot volatility in China: A semiparametric approach with range-based proxies
    Tan, Na
    Peng, Yulei
    Liu, Yanchu
    Pan, Zhewen
    [J]. JOURNAL OF FUTURES MARKETS, 2017, 37 (10) : 1003 - 1030
12345