Abstract
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.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Paper version not known
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
