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- W2901251531 abstract "In April 2015, two index futures, IH and IC, respectively underlying big blue chip and small-medium stock indexes, were launched in China. However, because of a market crash, they came under strict control four months later. Using a panel-data evaluation approach, this paper examines how the introduction of IH and IC affect the volatility of their corresponding stocks. Results show that IH significantly reduces spot volatility before (after) a crash, but its function is significantly weakened during a crash. IC always fails to stabilize the spot market and even largely magnifies volatility during (after) a crash. Such different intervention effects on the two spot markets result mainly from the different levels of speculation on them." @default.
- W2901251531 created "2018-11-29" @default.
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- W2901251531 date "2018-12-01" @default.
- W2901251531 modified "2023-09-25" @default.
- W2901251531 title "Impacts of Introducing Index Futures on Stock Market Volatilities: New Evidences from China" @default.
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- W2901251531 doi "https://doi.org/10.1142/s0219091518500248" @default.
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