Index option trading and equity volatility: Evidence from the SSE 50 and CSI 500 stocks
Author:
Funder
National Natural Science Foundation of China
Humanities and Social Science Fund of Ministry of Education of China
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference22 articles.
1. Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets;Bae;Journal of Futures Markets,2004
2. The effects of options listing and delisting in a short-sale-constrained market: Evidence from the Indian equities markets;Banerjee;Global Finance Journal,2018
3. Futures-trading activity and stock price volatility;Bessembinder;The Journal of Finance,1992
4. Spot market volatility and futures trading: The pitfalls of using a dummy variable approach;Bohl;Journal of Futures Markets,2016
5. The effect of index futures trading on volatility: Three markets for Chinese stocks;Bohl;China Economic Review,2015
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