谢世清等：Index Futures Trading and Stock Market Volatility in China: A Difference-in-Difference Approach

Abstract: Using panel data, which consists of stocks listed on the Chinese stock market during the period May 2005 to December 2012, this paper examines the impact of the introduction of CSI 300 index futures on stock market volatility. A multi-period difference-in-difference (DID) approach is used to check whether the volatility of the underlying CSI 300 stocks increases relative to a matching set of non-CSI 300 stocks after the introduction of index futures. This paper finds that the spot price experiences a long-term trend of diminishing volatility commencing in 2009. Although volatility initially increases several months after the introduction of CSI stock index futures, the difference does not seem to persist as there seems to be little long-run impact on spot price volatility from the introduction of index futures trading.

 Key Words: Index Futures; Stock Market Volatility; Difference-in-Difference; Panel Data

该文发表在《Journal of Futures Markets》(SSCI)2014第3期,第282-297页（全文见网址：http://onlinelibrary.wiley.com/doi/10.1002/fut.21650/full）。