Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=51623#.VHKJy2fHRK0 Author(s) Xinyue Bei 1 , Yanjia Yang 2 , Liuling Li 3 , Bruce Mizrach 4 Affiliation(s) 1 Accounting Department, Bussiness School, Nankai University, Tianjin, China . 2 Finance Department, Economics School, Nankai University, Tianjin, China . 3 The Institute of Statistics and Econometrics, Economics School, Nankai University, Tianjin, China . 4 Rutgers University, Piscataway, USA . ABSTRACT In this paper, the effect of Index Futures on stock market is studied. A new model, which is based on the 3-factor model in Fama and French (1993), the EGARCH-type volatility in Nelson (1991) and non-normal distribution of SSAEP...
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