Decision Sciences
8 years ago

Stock index futures increase volatility in Japan and Korea stock markets.

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Cai-mao yanjiu
The Relationship Between Stock Index Futures and the Volatility of Stock Market
Xiaofang Wang

Paper Summary

The study looked at how stock index futures affect stock market volatility in Japan, Korea, and Taiwan. They used a method called GARCH to analyze the data. The results showed that stock index futures didn't change Taiwan's stock market volatility, but increased volatility in Japan and Korea in the short term only. In the long term, there was no impact on volatility.

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