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

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 vola...

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Bibliographic Details
Published in:Pacific-Basin finance journal 1997-02, Vol.5 (1), p.105-114
Main Author: Kan, Andy C.N.
Format: Article
Language:English
Subjects:
Constituent stocks
Hang Seng Index (HSI)
Volatility
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Summary: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.
ISSN:0927-538X
1879-0585
DOI:10.1016/S0927-538X(96)00023-6