Title :
Index Futures and Spot Index Volatility: Evidence from China Stock Market
Author_Institution :
Bus. Sch., East China Univ. of Political & Law, Shanghai, China
Abstract :
This paper investigates whether the introduction of index future in China market will decrease or increase the volatility of the underlying index. We adopt a modified GARCH (1,1) model in which a dummy variable is included. The empirical results show that the introduction of index future trading will reduce the volatility of spot index in China A share market.
Keywords :
stock markets; China A share market; index future trading; modified GARCH (1,1) model; spot index volatility; volatility reduction; Contracts; Equations; Finance; Gaussian distribution; Indexes; Mathematical model; Stock markets; index future; spot index; volatility;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2011 Fourth International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4577-1541-9
DOI :
10.1109/BIFE.2011.69
