Index Futures Trading and Stock Market Volatility in China: A Difference-in-Difference Approach

2013 ◽  
Vol 34 (3) ◽  
pp. 282-297 ◽  
Author(s):  
Shiqing Xie ◽  
Taiping Mo
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Difference In Difference ◽  
Futures Trading ◽  
Index Futures

scholarly journals Impact of index derivatives on Indian stock market volatility-an application of arch and GARCH model

2008 ◽  
Vol 6 (3) ◽  
pp. 39-44
Author(s):  
S. V. Ramana Rao ◽  
Naliniprava Tripathy
Keyword(s):  
Stock Market ◽  
Structural Changes ◽  
Garch Model ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Index Futures ◽  
Market Factors ◽  
Indian Stock Market ◽  
The Impact ◽  
Derivative Products

The present study examined the impact of introduction of index futures derivative and index option derivative on Indian stock market by using ARCH and GARCH model to capture the time varying nature of volatility presence in the data period from October 1995 to July 2006. The results reported that the introduction of index futures and index options on the Nifty has produced no structural changes in the conditional volatility of Nifty but however the market efficiency has been improved after the introduction of the derivative products. The study concludes that financial derivative products are not responsible for increase or decrease in spot market volatility, but there could be other market factors which influenced the market volatility

scholarly journals INDEX FUTURES INTRODUCTION AND STOCK MARKET VOLATILITY: EMPIRICAL STUDY IN VIETNAM

2021 ◽  
Author(s):  
鬼谷 子
Keyword(s):  
Stock Market ◽  
Empirical Study ◽  
Policy Maker ◽  
Garch Model ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Index Futures ◽  
Dummy Variable ◽  
Futures Contract

This paper aims at answering the question whether the VN30 index futures introduction has an impact on stock market volatility in Vietnam. Apply GARCH model of volatility with additive dummy variable from 28/7/2000 to 10/9/2020, the result shows that when the first listed index futures contract appears, it makes the volatility of VNIndex increases. The result is still robust after excluding the turmoil period of Vietnam stock market. This paper implies that policy maker should be more careful in promoting derivatives market in Vietnam.

CROSS-MARKET FINANCIAL RISK ANALYSIS: AN AGENT-BASED COMPUTATIONAL FINANCE

2011 ◽  
Vol 10 (03) ◽  
pp. 563-584 ◽  
Author(s):  
XIONG XIONG ◽  
MEI WEN ◽  
WEI ZHANG ◽  
YONG JIE ZHANG
Keyword(s):  
Stock Market ◽  
Futures Market ◽  
Market Volatility ◽  
Computational Finance ◽  
Future Market ◽  
Investment Strategies ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Agent Based ◽  
Index Futures

Using the method of agent-based computational finance, this paper designs ten experiments to examine the impacts of the index futures market, typical investment strategies, and different trading mechanisms on the volatility of the Chinese stock market, taking into account the behavior of investors. We have the following results. First, the volatility of the stock market decreases with the index future market and cross-market arbitrageurs. Second, different investment strategies have different effects on stock market volatility. In many cases, both market-imitating and stop-loss strategies can increase stock market volatility. Third, the mechanism of price limits for the index futures market can help to stabilize the fluctuation of the stock market.

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