主管:中国科学院
主办:中国优选法统筹法与经济数学研究会
   中国科学院科技战略咨询研究院

Chinese Journal of Management Science ›› 2008, Vol. 16 ›› Issue (3): 151-156.

Previous Articles     Next Articles

The Shock Effect of Introducting Interest Rate Futures to Spot Marke:Empirical Evidence from Hong Kong Market

ZHANG Zong-xin, DING Zhen-hua, Feng Yi-dong   

  1. Institute for Financial Studies, Fudan University, Shanghai 200433, China
  • Received:2007-01-02 Revised:2008-04-10 Online:2008-06-30 Published:2008-06-30

Abstract: Introduction of interest rate futures results in some extent dynamic shock and information transfering in emerging markets.Using Generalised Autoregressive Conditional Heteroskedasticity (GARCH) and variance ratio(VR) model,this paper tests the volatility shock and information transfering effect by 90 days interest rate future in Hong Kong market.The empirical studies releave that shock effect by volatility disturbing moves quickly to normal-adjusted level after introducing interest rate future.The half-life of volatility shocks reduced sharply,but volatility remarkably increased.Menwhile,the return of spot market is close to the process of random walk after introducting interest rate futures,which means the price reflects all information and the efficiency of information transfering is enhanced.

Key words: interest rate futures, information efficiency, volatility shock

CLC Number: