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.

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