科研之友
微信
新浪微博
Facebook
分享链接
摘要
This study investigates the impact of introducing index futures trading on the volatility of the underlying stock market We exploit a unique institutional setting in which presumably uninformed individuals are the dominant trader type in the futures markets I his enables us to investigate the destabilization hypothesis more accurately than previous studies do and to provide evidence for or against the influence of individuals trading in Index futures on spot market volatility To overcome econometric shortcomings of the existing literature we employ a Markov-switching-GARCH approach to endogenously identify distinct volatility regimes Our empirical evidence for Poland suggests that the introduction of index futures trading does not dest
- 出版日期2011-1
