Index Futures and Spot Index Volatility Evidence from China Stock Market

摘要：

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.

关键词： index future volatility spot index

作者: Guo Xicai

作者单位: Business School, East China University of Political and Law, Shanghai, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 430-433

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）