The Statistical Difference of Chinese Stock Market Risk before and after the Stock Index Futures Based on VAR Method

Yajuan Lu, Pengxing Ren, Zheng Gu

Abstract


This paper examines the VaRs of daily stock market returns before and after the introduction of stock index
futures contract trading in China from a statistical perspective. VaRs, in this paper, are estimated with peaks over
threshold (POT) method fitting the tails of data distributions well. The key empirical results show that the VaRs
of daily returns before stock index futures are greater than those after the stock index futures at the same
significance levels. The market risk of Chinese stock market decreased after the introduction of stock index
futures.


Full Text: PDF DOI: 10.5539/ijbm.v8n14p182

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International Journal of Business and Management   ISSN 1833-3850 (Print)   ISSN 1833-8119 (Online)

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