3Freris A F. The Effect of the Introduction of Stock Index Futures on Stock Prices: The Experience of Hong Kong 1984-1987 [R]. Pacific Basin Capital Markets Research, North Holland, Amsterdam, 1990, p409-416.
4Baldauf, Band G J Santoni. Stock Price Volatility: Some Evidence from an ARCH Model [J]. Journal of Futures Markets, 1991, No.6, p215-224.
5Pericli A and Koutmos G, Index Futures and Options and Stock Market Volatility [J]. Journal of Futures Markets, 1997, No.19, p47-63.
6Charles, M S Sutcliffe. Stock Index Future Theories and International Thomson Business Press, Evidence[M]. International 1997.
7Bessembinder Hendrik and Paul J Seguin. Futures-Trading Activity and Stock Price Volatility[J]. Journal of Finance, 1992, Vol.47, No.5, p2015-2034.
8Lee S B and Ohk K Y. Stock Index Futures Listing and Structure Change in Time-Varying Volatility[J]. Journal of Futures Markets, 1992, Vol.12, No.5, p493-500.
9Robinson G. The Effect of Future Trading on Cash Market Volatility: Evidence from London Stock Exchange[OL/EB]. Bank of England Working paper, 1993.
10Damodaran A. Index Futures and Stock Market Volatility [J]. Review Futures Markets, 1990, Vol.9, No.2, P442-457.
3Box,G.E.P. and Pierce,D. Distribution of residual autocorrelations in autoregressive-integrated moving average time series models [J]. Journal of the American Statistical Association, 1970,65:1509-1526.
4Box, G.E.P. ,Jenkins, G.M., and Reinsel, G.C.Time Series Analysis:Forecasting and Control,3rd ed [ M ].Prentice Hall,Englewood Cliffs, NJ.1994.
5Engle,R.F. Autoregressive con- ditional heteroscedasticity with e- stimates of the variance of Unit- ed Kingdom inflations [J ].Econo- metrica 1982,50:987-1007.
7Nelson,D.B. Conditional hetero- skedasticity in asset returns: A new approach [J]. Econometri- ca, 1991,59:347-370.
8Glosten, L.R. ,Jagannathan, R., and Runkle,D.E. On the relation between the expected value and the volatihty of nominal excess return on stocks [J]. Journal of Finance, 1993,48:1779-1801.