Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach

2012 ◽  
pp. n/a-n/a ◽  
Author(s):  
Haiqiang Chen ◽  
Qian Han ◽  
Yingxing Li ◽  
Kai Wu
Keyword(s):  
Panel Data ◽  
Stock Market ◽  
Data Evaluation ◽  
Chinese Stock Market ◽  
Futures Trading ◽  
Index Futures ◽  
Evaluation Approach

Impacts of Introducing Index Futures on Stock Market Volatilities: New Evidences from China

2018 ◽  
Vol 21 (04) ◽  
pp. 1850024 ◽  
Author(s):  
Yang Gao ◽  
Bianxia Sun
Keyword(s):  
Panel Data ◽  
Stock Market ◽  
Spot Market ◽  
Spot Markets ◽  
Index Futures ◽  
Evaluation Approach ◽  
Stock Indexes ◽  
Spot Volatility ◽  
Different Levels ◽  
Blue Chip

In April 2015, two index futures, IH and IC, respectively underlying big blue chip and small-medium stock indexes, were launched in China. However, because of a market crash, they came under strict control four months later. Using a panel-data evaluation approach, this paper examines how the introduction of IH and IC affect the volatility of their corresponding stocks. Results show that IH significantly reduces spot volatility before (after) a crash, but its function is significantly weakened during a crash. IC always fails to stabilize the spot market and even largely magnifies volatility during (after) a crash. Such different intervention effects on the two spot markets result mainly from the different levels of speculation on them.

scholarly journals Price Discovery on Stock Index Futures markets under Extreme Events: Evidence from China

2018 ◽  
Vol 14 (25) ◽  
pp. 190 ◽  
Author(s):  
Qian Zhang
Keyword(s):  
Stock Market ◽  
Futures Markets ◽  
Price Discovery ◽  
Stock Index ◽  
Stock Index Futures ◽  
Chinese Stock Market ◽  
Short Term ◽  
Index Futures ◽  
Stable Period

In this paper, the price discovery function of stock index futures for spot stock index is studied in view of the soaring and plunging periods of Chinese stock market in recent years. We use the VECM model to do empirical research under periods of stationary, boom and slump. The results show that there is a long-term relationship between CSI 300 index and CSI 300 index futures. During the stable period of Chinese stock market, the CSI 300 stock index futures are sensitive to the short-term impact, and its ability of price discovery is obviously. However, during the period of boom and collapse, the price discovery function of CSI 300 index futures is weak.

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