We uncover interesting opposite effects of jumps in stock prices on three kind of stock returns: close-to-close expected return, and its two components, namely overnight and intraday return, when heterogeneous investors are confronted with different types of news during trading hours and...

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...