Index Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash

2016 ◽  
Vol 37 (4) ◽  
pp. 411-428 ◽  
Author(s):  
Qian Han ◽  
Jufang Liang
Keyword(s):  
Stock Market ◽  
Spot Market ◽  
Market Quality ◽  
Chinese Stock Market ◽  
Futures Trading ◽  
Stock Market Crash ◽  
Index Futures ◽  
Trading Restrictions ◽  
Quality Evidence

The spillover effect between CSI 500 index futures market and the spot market

2017 ◽  
Vol 7 (2) ◽  
pp. 249-272 ◽  
Author(s):  
Xuejun Fan ◽  
De Du
Keyword(s):  
Stock Market ◽  
Spillover Effect ◽  
Spot Market ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Content Type ◽  
Index Futures

Purpose Focusing on the spillover effects between the CSI 500 stock index futures market and its underlying spot market during April to September 2015, the purpose of this paper is to explore whether Chinese stock index futures should be responsible for the 2015 stock market crash. Design/methodology/approach Using both linear and non-linear econometric models, this paper empirically examines the mean spillover and the volatility spillover between the CSI 500 stock index futures market and the underlying spot market. Findings The results showed the following: the CSI 500 stock index futures market has significant one-way mean spillover effect on its spot market. The volatility in CSI 500 stock index futures market also has a significant positive spillover effect on its spot stock market, and the mean value of dynamic correlation coefficient between the two market volatility is 0.4848. The spillover effect of the CSI 500 stock index futures market on the underlying spot market is significantly asymmetric, characterized by relatively moderate and slow during the period of the markets rising, yet violent and rapid during the period of the markets falling. The findings suggest that although the stock index futures itself was not the “culprit” of Chinese stock market crash in 2015, its existence indeed accelerated and exacerbated the stock market’s decline under the imperfect trading system. Originality/value Different from the existing literature mainly focusing on CSI 300 stock index futures, this paper empirically examines the impact of the introduction of CSI 500 stock index futures on 2015 Chinese stock market crash for the first time.

scholarly journals Linkages between gold and emerging Asian stock markets: New evidence from the Chinese stock market crash

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Volatility Spillovers ◽  
Hedge Ratios ◽  
The Global Financial Crisis ◽  
New Evidence

This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.

STOCK MARKET OPENNESS AND MARKET QUALITY: EVIDENCE FROM THE SHANGHAI–HONG KONG STOCK CONNECT PROGRAM

2020 ◽  
Vol 43 (2) ◽  
pp. 373-406
Author(s):  
Ke Xu ◽  
Xinwei Zheng ◽  
Deng Pan ◽  
Li Xing ◽  
Xuekui Zhang
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Market Quality ◽  
Quality Evidence
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