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- W2518185468 abstract "The role of stock index futures (SIFs) in the stock market is very much under debate in the literature. This article studies the effect of the introduction of SIFs to the spot market in China and six other Asian markets. Based on the previous literature, we develop a hypothesis that in a bull market in which bubbles and noise traders are more likely to exist, the introduction of SIFs as an arbitrage instrument may cause price reversal and increase short-term volatility in the underlying market. We examine China and six other major stock markets in Asia to test this hypothesis. Pre- and post-launch standard volatility comparison, rolling windows estimation of volatility, and Markov Switching ARCH estimation are employed in our empirical analysis. Our results are found to support our hypothesis." @default.
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- W2518185468 date "2016-08-25" @default.
- W2518185468 modified "2023-09-26" @default.
- W2518185468 title "Does the Introduction of Stock Index Futures Destabilize the Spot Market? Some Cross-Country Evidence from Asia" @default.
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- W2518185468 doi "https://doi.org/10.1080/10971475.2016.1193393" @default.
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