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You searched for: Content Type Policy Brief Remove constraint Content Type: Policy Brief Publishing Institution Centre for International Governance Innovation Remove constraint Publishing Institution: Centre for International Governance Innovation Political Geography China Remove constraint Political Geography: China Publication Year within 5 Years Remove constraint Publication Year: within 5 Years Topic Markets Remove constraint Topic: Markets
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  • Author: Pierre Siklos, Martin T. Bohl, Jeanne Diesteldorf
  • Publication Date: 09-2014
  • Content Type: Policy Brief
  • Institution: Centre for International Governance Innovation
  • Abstract: 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 Conditional Heteroscedasticity (GARCH) models and compare our findings for mainland China with Chinese index futures traded in Singapore and Hong Kong. Our results indicate that Chinese index futures decrease spot market volatility with all three spot markets considered. In contrast, we do not obtain the same results for the companion index futures markets in Hong Kong and Singapore. China's stock market is relatively young and largely dominated by private retail investors. Nevertheless, our evidence is favourable to the stabilization hypothesis usually confirmed in mature markets.
  • Topic: Economics, International Trade and Finance, Markets
  • Political Geography: China, Singapore