Search Result

Srl

Item

ID: 143420

Effect of index futures trading on volatility: three markets for Chinese stocks / Bohl, Martin T; Diesteldorf, Jeanne ; Siklos, Pierre L

Bohl, Martin T	Article
	0 Rating(s) & 0 Review(s)

Summary/Abstract

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.

Key Words

Chinese Stock Markets ; Volatility Spillovers ; Index Futures

In Basket

Export

ID: 093853

Stock return seasonalities and investor structure: evidence from China's B-share markets / Bohl, Martin T; Schuppli, Michael; Siklos, Pierre L

Bohl, Martin T	Journal Article
	0 Rating(s) & 0 Review(s)

Publication

2010.

Summary/Abstract

This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ownership restrictions in 2001 provides a unique testing environment. We show that day-of-the-week effects are attenuated after the market entrance of Chinese individual investors who had previously not been allowed to trade in B-shares. Our empirical results suggest that institutional rather than individual investors are a main driving force behind such anomalies. In addition, we find evidence of reduced index return autocorrelation and US spillover effects in the post-liberalization period.

Key Words

Institutional Investors ; Individual Investors ; Stock Return Seasonalities ; Chinese Stock Markets ; GARCH Model

In Basket

Export