DocumentCode
2904818
Title
Index Futures and Spot Index Volatility: Evidence from China Stock Market
Author
Guo Xicai
Author_Institution
Bus. Sch., East China Univ. of Political & Law, Shanghai, China
fYear
2011
fDate
17-18 Oct. 2011
Firstpage
430
Lastpage
433
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Intelligence and Financial Engineering (BIFE), 2011 Fourth International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4577-1541-9
Type
conf
DOI
10.1109/BIFE.2011.69
Filename
6121173
Link To Document