Martin T. Bohl, Jeanne Diesteldorf, Pierre L. Siklos - Department of Economics, School of Business and Economics - 2015
This paper examines whether the introduction of Chinese stock index futures had an impact on the volatility of the underlying spot market. To this end, we estimate several Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) models and compare our findings for mainland China with...