| ID | 143420 |
| Title Proper | Effect of index futures trading on volatility |
| Other Title Information | three markets for Chinese stocks |
| Language | ENG |
| Author | Bohl, Martin T ; Diesteldorf, Jeanne ; Siklos, Pierre L |
| Summary / Abstract (Note) | This paper examines whether the introduction of Chinese stock index futures had an impact on the volatility of the underlying spot market. To this end, we estimate several Generalized Auto-regressive Conditional Heteroscedasticity (GARCH) models and compare our findings for mainland China with Chinese index futures traded in Singapore and Hong Kong. Our results indicate that Chinese index futures decrease spot market volatility in all three spot markets considered. In contrast, we do not obtain the same results for the companion index futures markets in Hong Kong and Singapore. China's stock market is relatively young and largely dominated by private retail investors. Nevertheless, our evidence is favorable to the stabilization hypothesis usually confirmed in mature markets. |
| `In' analytical Note | China Economic Review Vol. 34; Jul 2015: p.207-214 |
| Journal Source | China Economic Review 2015-07 34 |
| Key Words | Chinese Stock Markets ; Volatility Spillovers ; Index Futures |