Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model

@inproceedings{Ausloos2021StockIF,
  title={Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model},
  author={Marcel Ausloos and Yining Zhang and Gurjeet Dhesi},
  year={2021}
}
A TGARCH modeling is argued to be the optimal basis for investigating the impact of index futures trading on spot price variability. We discuss the CSI-300 index (China-Shanghai-Shenzhen-300-Stock Index) as a test case. The results prove that the introduction of CSI-300 index futures (CSI-300-IF) trading significantly reduces the volatility in the corresponding spot market. It is also found that there is a stationary equilibrium relationship between the CSI-300 spot and CSI-300-IF markets. A… 

Figures and Tables from this paper

References

SHOWING 1-10 OF 109 REFERENCES
The Impact of Index Futures on Spot Market Volatility in China
Using daily data of the China Securities Index (CSI) 300 between 2005 and 2012, we employ a set of GARCH models to investigate the impact of index futures trading on the volatility of the spot market
Price Discovery on Stock Index Futures markets under Extreme Events: Evidence from China
  • Qian Zhang
  • Economics
    European Scientific Journal, ESJ
  • 2018
In this paper, the price discovery function of stock index futures for spot stock index is studied in view of the soaring and plunging periods of Chinese stock market in recent years. We use the VECM
The impact of futures trading on spot index volatility: evidence for Taiwan index futures
This paper investigates the influences of inception of Taiwan Index futures trading on the spot price volatility on the Taiwan Stock Exchange (TSE). The macroeconomic effects are controlled and the
The impact of futures trading on volatility of the underlying asset in the Turkish stock market
This paper examines the impact of the introduction of stock index futures on the volatility of the Istanbul Stock Exchange (ISE), using asymmetric GARCH model, for the period July 2002–October 2007.
The effect of index futures trading on volatility: Three markets for Chinese stocks
This paper examines whether the introduction of Chinese stock index futures had an impact on the volatility of the underlying spot market. To this end, we estimate several Generalized Auto-regressive
Index Futures Trading and Stock Market Volatility in China: A Difference‐in‐Difference Approach
Using panel data, which consist of stocks listed on the Chinese stock market during the period May 2005 to December 2012, this study examines the impact of the introduction of CSI 300 index futures
Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach
This paper 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
Intraday Volatility and Volume in China's Stock Index and Index Futures Markets†
This paper examines the effects of intraday trading volume on return volatility across China's stock index and index futures markets using 5-min intraday data. The periodic characteristics of
An Empirical Study of China's Financial Stock Index Futures Effect on Stock Spot Market Based on CSI 300
TLDR
The result shows that the stock index futures not significant effects on the volatility of spot market; however, there exist a co integration relationship in both long term and short term.
The impact of stock index futures on the Korean stock market
This article investigates the impact on the spot market of trading in KOSPI 200 futures. Empirical results show that futures trading increases the speed at which information is impounded into spot
...
1
2
3
4
5
...