The impact of index futures on spot market volatility in China

• Autores: Shiqing Xie, Jiajun Huang
• Localización: Emerging Markets Finance & Trade, ISSN-e 1558-0938, Nº. 50 (Supplement Jan/Feb), 2014, págs. 167-177
• Idioma: inglés
• DOI: 10.2753/ree1540-496x5001s111
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• Resumen

  • Using daily data of the China Securities Index (CSI) 300 between 2005 and 2012, we employ a set of GARCH models to investigate the impact of index futures trading on the volatility of the spot market in China. Our three main findings are as follows: (1) the launch of index futures does not decrease the volatility of the spot market; (2) there is a decrease in sensitivity to new information while sensitivity to historical information increases after introduction of the CSI 300 index futures; and (3) no leverage effect is found either before or after the introduction of the CSI 300 index futures