EconPapers    
Economics at your fingertips  
 

The Effect of Index Futures Trading on Volatility: Three Markets for Chinese Stocks

Martin T. Bohl, Jeanne Diesteldorf and Pierre Siklos ()

No 3614, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

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 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.

Keywords: Chinese Stock Markets; Index Futures; Volatility Spillovers (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 G18 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2014-10
New Economics Papers: this item is included in nep-cna, nep-sea and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.wiwi.uni-muenster.de/cqe/sites/cqe/fil ... r/CQE_WP_36_2014.pdf Version of October 2014 (application/pdf)

Related works:
Journal Article: The effect of index futures trading on volatility: Three markets for Chinese stocks (2015) Downloads
Working Paper: The effect of index futures trading on volatility: Three markets for Chinese stocks (2015) Downloads
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:cqe:wpaper:3614

Access Statistics for this paper

More papers in CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster Am Stadtgraben 9, 48143 Münster, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Susanne Deckwitz ().

 
Page updated 2020-07-07
Handle: RePEc:cqe:wpaper:3614