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| 1 |
ID:
143420
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| 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.
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| 2 |
ID:
125791
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| Publication |
2013.
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| Summary/Abstract |
Price volatility spillovers among China's crude oil, corn and fuel ethanol markets are analyzed based on weekly price data from September 5, 2003 to August 31, 2012, employing the univariate EGARCH model and the BEKK-MVGARCH model, respectively. The empirical results indicate a higher interaction among crude oil, corn and fuel ethanol markets after September, 2008. In the overall sample period, the results simultaneously provide strong evidence that there exist unidirectional spillover effects from the crude oil market to the corn and fuel ethanol markets, and double-directional spillovers between the corn market and the fuel ethanol market. However, the spillover effects from the corn and fuel ethanol markets to the crude oil market are not significant.
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