Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach PDF Download

Author: Haiqiang Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 28

View

Book Description
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 (Hsiao et al. 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.

Author: Suqin Gu
Publisher:
ISBN:
Category :
Languages : en
Pages : 28

View

Book Description
This paper investigates the effect of equity index futures trading on stock market volatility and provides the empirical evidence from the Chinese market. GARCH model variations are applied to analyze the change in conditional volatility of the underlying equity index after the introduction of futures trading. Both additive and multiplicative effects are considered in the GARCH study. Multiple market factors are also considered to control for other possible causes of volatility. The Stock-Watson “counterfactual VAR” method is adopted to decompose the source of volatility change. The evidence indicates that the introduction of CSI300 index futures trading does not significantly affect the conditional volatility of the underlying index. This finding is robust to different model specifications. The Stock-Watson test shows that there is no structural change following the introduction of futures trading. The only difference comes from the decreasing innovation variances.

Author: Dexiang Mei
Publisher: Scientific Research Publishing, Inc. USA
ISBN: 164997048X
Category : Business & Economics
Languages : en
Pages : 139

View

Book Description
The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.

Author: Martin T Bohl
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages :

View

Book Description

Author: Mr. Rabson Magweva, Faith Njeri Harrison, Dr. Agnes Ogada, Philipino Muthine, Abdi Huka Halake
Publisher: Cari Journals USA LLC
ISBN: 991499976X
Category : Business & Economics
Languages : en
Pages : 116

View

Book Description
TOPICS IN THE BOOK Futures Trading and the Underlying Stock Volatility: A Case of the FTSE/JSE TOP 40 Effects of Selected Financial Management Practices on Financial Performance of Commercial Banks in Kenya Duplicity in Regulation and Performance of the Financial Sector in Kenya The Relationship between Options Derivatives and Financial Performance of Selected Listed Commercial Banks in Kenya Influence of Islamic Auto Financing Instruments on Financial Performance of Commercial Banks in Isiolo County Kenya

Author: Qian Han
Publisher:
ISBN:
Category :
Languages : en
Pages : 35

View

Book Description
Using a difference-in-difference approach, we find that restrictions placed on CSI 300 and CSI 500 index futures trading during the recent Chinese stock market crisis deteriorated spot market quality. This is more so for the September trade restriction. Our results can be explained by the sudden risk exposure faced by alpha-strategy traders. They stop trading spots after the index futures trading restrictions, hence worsening the spot market quality.

Author: Eric C. Chang
Publisher:
ISBN:
Category :
Languages : en
Pages : 60

View

Book Description

Author: Ramazan Gençay
Publisher: Elsevier
ISBN: 0080509223
Category : Business & Economics
Languages : en
Pages : 383

View

Book Description
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. The first book to present a unified view of filtering techniques Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series Provides easy access to a wide spectrum of parametric and non-parametric filtering methods

Author: Seungho Jung
Publisher: International Monetary Fund
ISBN: 1557759677
Category : Business & Economics
Languages : en
Pages : 36

View

Book Description
We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.

Author: Söhnke M. Bartram
Publisher: CFA Institute Research Foundation
ISBN: 195292703X
Category : Business & Economics
Languages : en
Pages : 95

View

Book Description
Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.