Author(s)

Baolin Guo ¹

Affiliation(s)

¹ School of Economics, Shanghai University, Baoshan District, Shanghai, China

Corresponding Author

ABSTRACT

Using the daily closing price data of four stock indexes in mature markets and emerging markets, the impact of stock index futures on the volatility of different stock markets before and after listing is examined based on the node of futures listing time and asymmetric TGARCH model. The results show that the conditional variance of stock index returns reacts asymmetrically to external shocks; in the leveraged stock market, the bearish news has a greater impact on the stock market than the good news; at the same time, the introduction of stock index futures has a promoting or inhibiting effect on the volatility of the stock market and the existing leverage effect, and there is no obvious difference between mature markets and emerging markets.

KEYWORDS

CITE THIS PAPER

Baolin Guo, The Impact of Stock Index Futures on Stock Market Volatility: A Quantitative Test of Daily Data from Different Markets. Financial Engineering and Risk Management (2022) Vol. 5: 99-105. DOI: http://dx.doi.org/10.23977/ferm.2022.050713.

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