collaborators

1 paper

q-fin.ST2021

Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model

Marcel Ausloos, Yining Zhang, Gurjeet Dhesi

A TGARCH modeling is argued to be the optimal basis for investigating the impact of index futures trading on spot price variability. We discuss the CSI-300 index (China-Shanghai-Sh…