Forecasting the Impact of the Soon to be Traded Stock Index Futures on the Chinese Stock Market: Empirical Evidence from Japan and Taiwan

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Forecasting the Impact of the Soon to be Traded Stock Index Futures on the Chinese Stock Market: Empirical Evidence from Japan and Taiwan

China will launch the stock index futures in the later of 2007. This paper forecasts the impact of stock index futures on the volatility of the Chinese stock market based on the empirical test of Japan and Taiwan. The GARCH model will be used to examine on the effect of stock index futures on the vo...

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Bibliographic Details
Main Author:	Wang, Xuewen
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2007
Subjects:	stock index futures GARCH model
Online Access:	https://eprints.nottingham.ac.uk/20918/

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