Xie, Shiqing; Huang, Jiajun - In: Emerging Markets Finance and Trade 50 (2014) 1S, pp. 167-177
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 in China. Our three main findings are as follows: (1) the launch of index futures does not...
