Can the introduction of stock index futures stabilize the volatility of the stock market? : evidence from the Chinese stock market
Shengnan Liu, Linshan Yang, Rongbao Gu
| Year of publication: |
2023
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|---|---|
| Authors: | Liu, Shengnan ; Yang, Linshan ; Gu, Rongbao |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 85.2023, p. 44-58
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| Subject: | CSI 300 index | CSI 300 index futures | Multifractal detrended fluctuation analysis (MF-DFA) | Nonlinear Granger causality test | VAR-MVGARCH-BEKK model | Index-Futures | Index futures | Volatilität | Volatility | China | Aktienmarkt | Stock market | Aktienindex | Stock index | Kausalanalyse | Causality analysis | Börsenkurs | Share price | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2023.01.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014424017