China Stock Index Futures Decrease Market Volatility, Reducing Systemic Risk.
The study looked at how the introduction of stock index futures in China affected the A-share market. By analyzing the daily return volatility of the Hang Seng Index, the researchers found that the launch of stock index futures did not increase stock market volatility. In fact, the volatility of the stock market decreased slightly after the introduction of stock index futures. The best model to explain this was the GARCH(2,1) model.