The effect of index futures trading on volatility of HSI constituent stocks: A note

Andy C.N. Kan

doi:10.1016/s0927-538x(96)00023-6

The effect of index futures trading on volatility of HSI constituent stocks: A note

Andy C.N. Kan

Research output: Contribution to journal › Article › peer-review

14 Citations (Scopus)

Abstract

This paper examines the adjusted volatilities of the individual constituent stocks in Hang Seng Index (HSI) before and after the HSI futures trading. After controlling for cross-sectional differences in stock attributes known to affect volatility, we find no significant increase in the adjusted volatility of the constituent stocks relative to the non-constituent stocks after the HSI futures trading.

Original language	English
Pages (from-to)	105-114
Number of pages	10
Journal	Pacific Basin Finance Journal
Volume	5
Issue number	1
DOIs	https://doi.org/10.1016/s0927-538x(96)00023-6
Publication status	Published - Feb 1997
Externally published	Yes

Keywords

Constituent stocks
Hang Seng Index (HSI)
Volatility

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10.1016/s0927-538x(96)00023-6

Cite this

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title = "The effect of index futures trading on volatility of HSI constituent stocks: A note",

abstract = "This paper examines the adjusted volatilities of the individual constituent stocks in Hang Seng Index (HSI) before and after the HSI futures trading. After controlling for cross-sectional differences in stock attributes known to affect volatility, we find no significant increase in the adjusted volatility of the constituent stocks relative to the non-constituent stocks after the HSI futures trading.",

keywords = "Constituent stocks, Hang Seng Index (HSI), Volatility",

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AB - This paper examines the adjusted volatilities of the individual constituent stocks in Hang Seng Index (HSI) before and after the HSI futures trading. After controlling for cross-sectional differences in stock attributes known to affect volatility, we find no significant increase in the adjusted volatility of the constituent stocks relative to the non-constituent stocks after the HSI futures trading.

KW - Constituent stocks

KW - Hang Seng Index (HSI)

KW - Volatility

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DO - 10.1016/s0927-538x(96)00023-6

M3 - Article

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SN - 0927-538X

VL - 5

SP - 105

EP - 114

JO - Pacific Basin Finance Journal

JF - Pacific Basin Finance Journal

IS - 1

ER -

The effect of index futures trading on volatility of HSI constituent stocks: A note

Abstract

Keywords

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