Abstract Based on data from A shares and index futures from May 2010 to April 2015, this paper adopts the methods of propensity score matching (PSM) and differential regression in its analysis of the impact of index futures speculators on stock market volatility. It is found that index futures speculators don’t significantly influence the stock market volatility. Under good market liquidity, index futures speculation is negatively related to stock volatility while this negative relation disappears under weak market liquidity.
2018, Vol. 35 
