2012•Journal of Beijing Information Science & Technology UniversityRequires access

The study on the effects of introducing of stock index futures on the volatility of spot market in Hong Kong

Hailiang Meng

Abstract

The influence of the introduction of index futures on stock market is an important issue for the building of financial market.Similar event study method and econometric method are used to study the effects of the introductions of Hang Seng Index futures and H-Share Index futures on the volatility of its component stocks of the underlying index.The research shows that the effect of the introduction of index futures on the volatility of stock market is uncertain.

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Key concepts: Stock index futures, Futures contract, Volatility (finance), Futures market, Financial economics, Stock market index, Index (typography), Stock market