Predicting Stock Market Crises Using Stock Index Derivatives: Evidence from China

Xiaohan Ma and Hui Lin

Emerging Markets Finance and Trade, 2024, vol. 60, issue 3, 576-597

Abstract: The article offers a comprehensive analysis of the early warning capability of China’s stock index derivatives for the first time. A rolling window logit model is employed to predict stock market crises using data from CSI 300 index futures and SSE 50 ETF options. The findings demonstrate that (1) stock index derivatives play a vital role in predicting stock market crises; (2) short-term forecasts are better predicted by near-month derivatives contracts, whereas for long-term warnings, far-month contracts tend to perform better; and (3) in-the-money calls and out-of-the-money puts are superior to at-the-money options in predicting stock market crises. The insights provided by this article can assist emerging countries in establishing and utilizing derivatives markets more efficiently.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2023.2236284 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:60:y:2024:i:3:p:576-597

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2023.2236284

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().