IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v37y2017i10p1003-1030.html
   My bibliography  Save this article

Index futures trading and spot volatility in China: A semiparametric approach with range‐based proxies

Author

Listed:
  • Na Tan
  • Yulei Peng
  • Yanchu Liu
  • Zhewen Pan

Abstract

We relax the linear conditional mean assumption in Hsiao et al. (2012). Journal of Applied Econometrics, 27(5), 705–740 and extend it to a single‐index semi‐parametric setting. The asymptotic distribution properties are derived and the semi‐parametric model is applied to study the treatment effect of introducing the stock index futures contracts in China. Our empirical results indicate that the introduction of stock index futures significantly reduced stock market volatility before October 2014, but the long‐run effect is not significant. This temporary stabilization effect is robust to different underlying spot indexes, to various proxies of volatility, and to placebo tests on the introduction date of stock index futures.

Suggested Citation

  • Na Tan & Yulei Peng & Yanchu Liu & Zhewen Pan, 2017. "Index futures trading and spot volatility in China: A semiparametric approach with range‐based proxies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(10), pages 1003-1030, October.
    • Handle: RePEc:wly:jfutmk:v:37:y:2017:i:10:p:1003-1030
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Brooks, Robert & Brooks, Joshua A., 2022. "Samuelson hypothesis and carry arbitrage: U.S. and China," Journal of International Money and Finance, Elsevier, vol. 128(C).
    2. Gong, Xu & Lin, Boqiang, 2018. "Structural changes and out-of-sample prediction of realized range-based variance in the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 27-39.
    3. Xie, Xiaoyu & Zhu, Heliang, 2021. "The role of gold futures in mitigating the impact of economic uncertainty on spot prices: Evidence from China," Research in International Business and Finance, Elsevier, vol. 56(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:37:y:2017:i:10:p:1003-1030. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.