DOES INDEX FUTURES TRADING REDUCE VOLATILITY IN THE CHINESE STOCK MARKET? A PANEL DATA EVALUATION APPROACH

被引：83

作者：

Chen, Haiqiang ^{[1
,2
]}

Han, Qian ^{[1
,2
]}

Li, Yingxing ^{[1
,2
]}

Wu, Kai ^{[1
,2
]}

机构：

[1] Xiamen Univ, Wang Yanan Inst Studies Econ, MOE Key Lab Econometr, Xiamen 361005, Fujian, Peoples R China

[2] Xiamen Univ, Fujian Key Lab Stat, Xiamen 361005, Fujian, Peoples R China

来源：

JOURNAL OF FUTURES MARKETS | 2013年 / 33卷 / 12期

关键词：

PRICE VOLATILITY; GNMA SECURITIES; RETURNS; OPTIONS; IMPACT; MODEL;

D O I：

10.1002/fut.21573

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study investigates the effect of introducing index futures trading on the spot price volatility in the Chinese stock market. We employ a recently developed panel data policy evaluation approach (Hsiao, Ching, and Wan, 2011) to construct counterfactuals of the spot market volatility, based mainly on cross-sectional correlations between the Chinese and international stock markets. This new method does not need to specify a particular regression or a time-series model for the volatility process around the introduction date of index futures trading, and thus avoids the potential omitted variable bias caused by uncontrolled market factors in the existing literature. Our results provide empirical evidence that the introduction of index futures trading significantly reduces the volatility of the Chinese stock market, which is robust to different model selection criteria and various prediction approaches. (c) 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:1167-1190, 2013

引用

页码：1167 / 1190

页数：24

共 36 条

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