Can the introduction of stock index futures stabilize the volatility of the stock market? : evidence from the Chinese stock market
Year of publication: |
2023
|
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Authors: | Liu, Shengnan ; Yang, Linshan ; Gu, Rongbao |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 85.2023, p. 44-58
|
Subject: | CSI 300 index | CSI 300 index futures | Multifractal detrended fluctuation analysis (MF-DFA) | Nonlinear Granger causality test | VAR-MVGARCH-BEKK model | Index-Futures | Index futures | Volatilität | Volatility | China | Aktienmarkt | Stock market | Börsenkurs | Share price | Kausalanalyse | Causality analysis | Aktienindex | Stock index | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
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