Does Index Futures Trading Increase The Volatility Of The Stock Market
DOWNLOAD
Download Does Index Futures Trading Increase The Volatility Of The Stock Market PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Does Index Futures Trading Increase The Volatility Of The Stock Market book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Does Index Futures Trading Increase The Volatility Of The Stock Market
DOWNLOAD
Author : Wen-Yuan Cho
language : en
Publisher:
Release Date : 2001
Does Index Futures Trading Increase The Volatility Of The Stock Market written by Wen-Yuan Cho and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Stock exchanges categories.
Does Futures Trading Increase Stock Market Volatility
DOWNLOAD
Author : Eric C. Chang
language : en
Publisher:
Release Date : 1995
Does Futures Trading Increase Stock Market Volatility written by Eric C. Chang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.
Derivatives And Hedge Funds
DOWNLOAD
Author : Stephen Satchell
language : en
Publisher: Springer
Release Date : 2016-05-18
Derivatives And Hedge Funds written by Stephen Satchell and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-18 with Science categories.
Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
The Effect Of Futures Trading On Cash Market Volatility
DOWNLOAD
Author : Gary Robinson
language : en
Publisher:
Release Date : 1998
The Effect Of Futures Trading On Cash Market Volatility written by Gary Robinson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
The stock market crash of October 1987 and the growing importance of index arbitrage and portfolio insurance helped to focus the attention of academics, practitioners and regulators on the possibly destabilising role of equity index futures on the underlying cash market. Although theoretical evidence on this question is somewhat ambiguous, empirical evidence, relating particularly to US markets, has been less equivocal: typically, no significant effect of futures trading has been found. This paper presents an analysis of daily stock price volatility on the London Stock Exchange for the period 1980-93. The measure of volatility produced is appropriate, given the distribution of returns and the time-varying nature of stock price volatility, and changes in monetary policy regime. The impact of futures on stock price volatility is measured within an augmented ARCH framework and the principal result is striking: rather than increasing volatility, index futures contracts are found to have reduced volatility significantly by around 17%.
Stock Index Futures
DOWNLOAD
Author : Charles M.S. Sutcliffe
language : en
Publisher: Routledge
Release Date : 2018-01-18
Stock Index Futures written by Charles M.S. Sutcliffe and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-01-18 with Business & Economics categories.
The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Does The Introduction Of Stock Index Futures Effectively Reduce Stock Market Volatility Is The Futures Effect Immediate Evidence From The Italian Stock Exchange Using Garch
DOWNLOAD
Author : Pierluigi Bologna
language : en
Publisher:
Release Date : 2018
Does The Introduction Of Stock Index Futures Effectively Reduce Stock Market Volatility Is The Futures Effect Immediate Evidence From The Italian Stock Exchange Using Garch written by Pierluigi Bologna and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
The impact of futures trading on the underlying asset volatility, and its characteristics, is still debated both in the economic literature and among practitioners. The aim of this study is to analyse the effect of the introduction of stock index futures on the volatility of the Italian Stock Exchange. This study mainly addresses two issues: first, the study analyses whether the reduction of stock market volatility showed in the post-futures period, already pointed out in previous research, is effectively due to the introduction of futures contract. Second, whether the 'futures effect', if confirmed, is immediate or delayed with respect to the moment of the futures trading onset is tested. The results show that the introduction of stock index futures per se has led to diminished stock market volatility and no other contingent cause seems to have systematically reduced it. Further, they also suggest that the impact of futures onset on the underlying market volatility is likely to be immediate. These findings are consistent with those theories stating that active and developed futures markets enhance the efficiency of the corresponding spot markets.
Effect Of Equity Index Futures Trading On Stock Market Volatility
DOWNLOAD
Author : Suqin Gu
language : en
Publisher:
Release Date : 2013
Effect Of Equity Index Futures Trading On Stock Market Volatility written by Suqin Gu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This paper investigates the effect of equity index futures trading on stock market volatility and provides the empirical evidence from the Chinese market. GARCH model variations are applied to analyze the change in conditional volatility of the underlying equity index after the introduction of futures trading. Both additive and multiplicative effects are considered in the GARCH study. Multiple market factors are also considered to control for other possible causes of volatility. The Stock-Watson “counterfactual VAR” method is adopted to decompose the source of volatility change. The evidence indicates that the introduction of CSI300 index futures trading does not significantly affect the conditional volatility of the underlying index. This finding is robust to different model specifications. The Stock-Watson test shows that there is no structural change following the introduction of futures trading. The only difference comes from the decreasing innovation variances.
Asset Pricing Real Estate And Public Finance Over The Crisis
DOWNLOAD
Author : A. Carretta
language : en
Publisher: Springer
Release Date : 2013-02-03
Asset Pricing Real Estate And Public Finance Over The Crisis written by A. Carretta and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-02-03 with Business & Economics categories.
The current financial crisis started from the US real estate market and after, though the increase of risk premium requested by investors and due to the lack of liquidity of all financial markets, it became a world financial crisis. A detailed analysis during the crisis focuses attention on asset management, the real estate and public sector.
Volatility Volume And Pricing Efficiency In The Stock Index Futures Market When The Underlying Cash Market Does Not Trade
DOWNLOAD
Author : Yue-Cheong Chan
language : en
Publisher:
Release Date : 2002
Volatility Volume And Pricing Efficiency In The Stock Index Futures Market When The Underlying Cash Market Does Not Trade written by Yue-Cheong Chan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
This paper presents an event study of the trading of Hang Seng Index (HSI) futures contracts on the Hong Kong Futures Exchange (HKFE) after it begins to open fifteen minutes earlier and close fifteen minutes later than the underlying cash market, the Stock Exchange of Hong Kong (SEHK) in November 1998. The empirical results show that the extension of trading hours in the HKFE causes futures traders to shift their orders from other sessions of the day to the first 15-minute trading session preceding the opening in cash market. However, the increase in trading volume during the opening session does not bring any corresponding upsurge in return volatility. Instead, futures returns during the opening session are found to be relatively less volatile than before. In addition, the futures contract opening prices appear to have little change (or even reduction) in pricing errors when compared with the pre-extension period. These observations suggest that trading activities during the extended opening session of the futures market are dominated by the better-informed traders which help to speed up the price discovery process in the market. On the other hand, there are no notable changes in return volatility, trading volume and pricing efficiency in the last 15-minute trading session of the HKFE during the post-extension period.
Regulatory Reform Of Stock And Futures Markets
DOWNLOAD
Author : Franklin R. Edwards
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Regulatory Reform Of Stock And Futures Markets written by Franklin R. Edwards and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.