Can the introduction of stock index futures stabilize the volatility of the stock market? Evidence from the Chinese stock market

Shengnan Liu, Linshan Yang and Rongbao Gu

International Review of Economics & Finance, 2023, vol. 85, issue C, 44-58

Abstract: Since the introduction of China's stock index futures in 2010, it has played a decisive role in enhancing the operation of the Chinese stock market, improving pricing efficiency, and clarifying the asset price mechanism. Using the daily closing prices of the Chinese stock market over 2005–2021, this study examined the price discovery and risk spillover effects of CSI 300 index futures on stock market volatility. The results show that (Adnan & Kasman, 2008) there is a two-way linear mechanism volatility spillover effect and (Ahn et al., 2019) a two-way guiding relationship in the nonlinear mechanism between the CSI 300 index spot and futures markets.

Keywords: Multifractal detrended fluctuation analysis (MF-DFA); Nonlinear Granger causality test; VAR-MVGARCH-BEKK model; CSI 300 index; CSI 300 index futures (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:85:y:2023:i:c:p:44-58

DOI: 10.1016/j.iref.2023.01.001

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