| dc.contributor.author | Hou, Yang (Greg) | en_NZ |
| dc.contributor.author | Li, Steven | en_NZ |
| dc.coverage.spatial | Shanghai, China | en_NZ |
| dc.date.accessioned | 2019-11-25T03:02:28Z | |
| dc.date.available | 2018 | en_NZ |
| dc.date.available | 2019-11-25T03:02:28Z | |
| dc.date.issued | 2018 | en_NZ |
| dc.identifier.citation | Hou, Y. (Greg), & Li, S. (2018). Volatility and skewness spillover between stock index and stock index futures markets during the crash period: New evidence from China. Presented at the The 7th International Conference on Futures and Other Derivatives, Shanghai, China. | en |
| dc.identifier.uri | https://hdl.handle.net/10289/13191 | |
| dc.description.abstract | This paper examines volatility and skewness spillover between the Chinese stock index and index futures markets during a market crash in 2015. The volatility spillover from futures to spot is significant and stronger than the other way around. Moreover, the transmission of downside risk is bilateral with the futures market taking the lead. It is revealed that measures announced during the market crash to curb the speculative futures trading enhance the spillover of both volatility and skewness from futures to spot markets. This finding sheds light on validity of such measures to restore market efficiency during a stock market crash. | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | en | |
| dc.relation.uri | http://www.sds.fudan.edu.cn/wp/?p=2045 | |
| dc.source | The 7th International Conference on Futures and Other Derivatives | en_NZ |
| dc.subject | Volatility Spillover | |
| dc.subject | Skewness Spillover | |
| dc.subject | GARCH Model | |
| dc.subject | Skewed Student’s t Distribution | |
| dc.subject | Chinese Stock Market Crash | |
| dc.subject | Chinese Stock Index Futures | |
| dc.title | Volatility and skewness spillover between stock index and stock index futures markets during the crash period: New evidence from China | en_NZ |
| dc.type | Conference Contribution | |
| pubs.elements-id | 238392 | |
| pubs.finish-date | 2018-10-20 | en_NZ |
| pubs.publisher-url | http://www.sds.fudan.edu.cn/wp/?p=2045 | en_NZ |
| pubs.start-date | 2018-10-19 | en_NZ |
