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Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach
16 references·15 citing·43 second hop
Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach (2012)Does Index Futures Trading Reduce Volatil…Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China (2011)Intraday price discovery and …A PANEL DATA APPROACH FOR PROGRAM EVALUATION: MEASURING THE BENEFITS OF POLITICAL AND ECONOMIC INTEGRATION OF HONG KONG WITH MAINLAND CHINA (2011)A PANEL DATA APPROACH FOR PRO…Index futures and positive feedback trading: evidence from major stock exchanges (2004)Index futures and positive fe…Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares (2003)Location of trade, ownership …Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH (2002)Does the introduction of stoc…Has futures trading activity caused stock price volatility? (1995)Has futures trading activity …Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH (1995)Futures trading, information …Stock index futures listing and structural change in time‐varying volatility (1992)Stock index futures listing a…Futures‐Trading Activity and Stock Price Volatility (1992)Futures‐Trading Activity and …Futures-Trading Activity and Stock Price Volatility (1992)Futures-Trading Activity and …Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…S&P 500 Cash Stock Price Volatilities (1989)S&P 500 Cash Stock Price Vola…Futures trading and cash market volatility: Stock index and interest rate futures (1988)Futures trading and cash mark…Futures Trading and Volatility in the GNMA Market (1981)Futures Trading and Volatilit…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Options and Efficiency (1976)Options and EfficiencyWhat effect did the introduction of Bitcoin futures have on the Bitcoin spot market? (2021)What effect did the introduct…Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa İstanbul (2021)Investigating the volatility …Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model (2020)Stock index futures trading i…Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction (2020)Price discovery and spillover…Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China (2019)Volatility and skewness spill…The role of jumps in the agricultural futures market on forecasting stock market volatility: New evidence (2019)The role of jumps in the agri…Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets (2019)Forecasting the U.S. stock vo…Role of index futures on China's stock markets: Evidence from price discovery and volatility spillover (2017)Role of index futures on Chin…Relationships between Chinese stock market and its index futures market: Evaluating the impact of QFII scheme (2017)Relationships between Chinese…Index Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash (2016)Index Futures Trading Restric…Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach (2015)Information transmission betw…Derivative markets in emerging economies: A survey (2015)Derivative markets in emergin…The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns (2014)The impact of the CSI 300 sto…The Impact of Index Futures on Spot Market Volatility in China (2014)The Impact of Index Futures o…Index Futures Trading and Stock Market Volatility in China: A Difference‐in‐Difference Approach (2013)Index Futures Trading and Sto…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The relation between implied and realized volatility (1998)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Recovering Risk Aversion from Option Prices and Realized Returns (2000)Spanning and derivative-security valuation (2000)Theory of rational option pricing (2005)Neglected risks, financial innovation, and financial fragility (2011)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Property taxes and home prices: A tale of two cities (2013)Home-purchase restriction, property tax and housing price in China: A counterfactual analysis (2015)Do China's high-speed-rail projects promote local economy?—New evidence from a panel data approach (2017)The Behavior of Stock-Market Prices (1965)Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico (2004)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Asset pricing and the bid-ask spread (1986)Permanent and Temporary Components of Stock Prices (1988)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach (1993)S&P 500 Trading Strategies and Stock Betas (1994)The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis (1998)Continuous Auctions and Insider Trading (1985)Expected stock returns and volatility (1987)Why Does Stock Market Volatility Change Over Time? (1989)Temporal relationships and dynamic interactions between spot and futures stock markets (1996)The Impact of Trader Type on the Futures Volatility‐Volume Relation (1999)Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis (2007)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Multivariate Simultaneous Generalized ARCH (1995)Individual time series and composite forecasting of the Chinese stock index (2021)A Study of Contemporaneous Residential Real Estate Price Causation Across Major Jiangsu Province Cities: Methodology Using Vector Error-Correction Models and Directed Acyclic Graphs (2025)Contemporaneous causal orderings among prices of retail properties: evidence from Chinese cities through vector error-correction modeling and directed acyclic graphs (2025)An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies (1987)Bid-ask spreads in the interbank foreign exchange markets (1994)The Impact of Central Clearing on Counterparty Risk, Liquidity, and Trading: Evidence from the Credit Default Swap Market (2012)
this work references cited by second hop

References

  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1976Options and Efficiency830 cited
  • 2011A PANEL DATA APPROACH FOR PROGRAM EVALUATION: MEASURING THE BENEFITS OF POLITICAL AND ECONOMIC INTEGRATION OF HONG KONG WITH MAINLAND CHINA350 cited
  • 1992Futures‐Trading Activity and Stock Price Volatility348 cited
  • 1995Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH290 cited
  • 1992Futures-Trading Activity and Stock Price Volatility280 cited
  • 1989S&P 500 Cash Stock Price Volatilities262 cited
  • 1981Futures Trading and Volatility in the GNMA Market203 cited
  • 2011Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China203 cited
  • 1988Futures trading and cash market volatility: Stock index and interest rate futures181 cited
  • 2003Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares179 cited
  • 2004Index futures and positive feedback trading: evidence from major stock exchanges176 cited
  • 1992Stock index futures listing and structural change in time‐varying volatility150 cited

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2002
Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH
123 cited
  • 1995Has futures trading activity caused stock price volatility?117 cited
  • Cited by

    • 2017Role of index futures on China's stock markets: Evidence from price discovery and volatility spillover61 cited
    • 2015Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach59 cited
    • 2014The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns58 cited
    • 2019The role of jumps in the agricultural futures market on forecasting stock market volatility: New evidence58 cited
    • 2016Index Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash56 cited
    • 2019Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China54 cited
    • 2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets51 cited
    • 2021What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?49 cited
    • 2013Index Futures Trading and Stock Market Volatility in China: A Difference‐in‐Difference Approach46 cited
    • 2020Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction38 cited
    • 2014The Impact of Index Futures on Spot Market Volatility in China32 cited
    • 2017Relationships between Chinese stock market and its index futures market: Evaluating the impact of QFII scheme30 cited
    • 2015Derivative markets in emerging economies: A survey29 cited
    • 2021Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa İstanbul28 cited
    • 2020Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model27 cited