An empirical study on the effect of launching Chinese stock index futures on the volatility of the stock market
This study examines the effect of the introduction of CSI300 Index Futures on the volatility of the stock market. Taking into account of the existence of the long term trend of diminishing volatility of the Chinese stock market, the difference-in-difference method was used instead of the simple befo...
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| Format: | Others |
| Language: | English Chinese |
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2014
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| Online Access: | http://repository.lib.cuhk.edu.hk/en/item/cuhk-1291516 |
| Summary: | This study examines the effect of the introduction of CSI300 Index Futures on the volatility of the stock market. Taking into account of the existence of the long term trend of diminishing volatility of the Chinese stock market, the difference-in-difference method was used instead of the simple before-and-after method to investigate how the volatility of the constituent stocks changes relative to the non-constituent stocks after the introduction of CSI300 Index Futures. Empirical results revealed that the volatility of the constituent stocks increased as compared with that of non-constituent stocks before and after the inception of the CSI300 Index Futures. The temporal-self comparison for the stocks entered or removed from the CSI300 Index List showed that that the introduction of index futures has a long-term destabilizing effect. === 本文研究滬深300股票指數期貨的推出對我國股票市場波動率的影響。考慮到中國股市長期波動率下降的趨勢的存在,我們用差上差的方法取代了傳統的簡單事前事後比較方法來研究成分股相對于非成分股波動率在滬深300股票指數期貨推出前後是如何變化的。實證結果顯示成分股股票相對于非成分股股票,波動率在滬深300股票指數期貨推出前後實際上是上升的。對於進入或者剔除出滬深300指數名單的股票的實證研究顯示,這種股票不同狀態的自我比較說明對於滬深300股票指數期貨的推出在長期有失穩作用。 === Luo, Shengjie. === Thesis M.Phil. Chinese University of Hong Kong 2014. === Includes bibliographical references (leaves 40-42). === Abstracts also in Chinese. === Title from PDF title page (viewed on 12, October, 2016). === Detailed summary in vernacular field only. |
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