Futures Trading Activity And Index Price Volatility

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Futures Trading Activity And Index Price Volatility

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Author : Yanisa Chetchatree
language : en
Publisher:
Release Date : 2011

Futures Trading Activity And Index Price Volatility written by Yanisa Chetchatree and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

Futures Trading Activity And Stock Price Volatility

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Author : Hendrik Bessembinder
language : en
Publisher:
Release Date : 1992

Futures Trading Activity And Stock Price Volatility written by Hendrik Bessembinder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Futures categories.

Volatility And Trading Activity Following Changes In The Size Of Futures Contracts

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Author : Johan Bjursell
language : en
Publisher:
Release Date : 2008

Volatility And Trading Activity Following Changes In The Size Of Futures Contracts written by Johan Bjursell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

This paper examines the relationship between daily price volatility and trading activity one year before and after a change in the size of selected futures contracts. The following three contracts are included in this study: the Stock Price Index traded on the Sydney Futures Exchange (SFE), which had a contract split on October 11, 1993; the FTSE-100 index traded on the London International Financial Futures Exchange (LIFFE), which had a contract split on March 23, 1998; and the 90-Day Bank Acceptance Bill (BAB) traded on the SFE, which had a reverse split on May 1, 1995. We obtain several interesting empirical results. We observe that there is a positive relationship between daily price volatility and the number of trades (trading frequency) before and after a change in the size of the examined futures contracts. We find that the increase (decrease) in total trading frequency has the power to explain the increase (decrease) of daily price volatility after a contract split (reverse split). Most of the average trade size variable has an immaterial impact on price volatility. Decomposing the total trading frequencies into four trade size classes, we find that the trading frequencies for small and large trade size categories are highly significant in explaining changes in daily price volatility after the index futures contracts' splits. These results are consistent with the noise trading hypothesis (Black (1986)) and the hypothesis on less informed trading in index futures markets. For the BAB case, we find that the trading frequencies for small, medium and large sizes impact price volatility before and after the reverse contract split.

A Primer On Program Trading And Stock Price Volatility

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Author : Gregory Duffee
language : en
Publisher:
Release Date : 1990

A Primer On Program Trading And Stock Price Volatility written by Gregory Duffee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Program trading (Securities) categories.

Futures Trading Activity And Share Price Volatility

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Author : Hein Nienaber
language : en
Publisher:
Release Date : 1994

Futures Trading Activity And Share Price Volatility written by Hein Nienaber and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Futures market categories.

Futures Trading Impact On Stock Market Volatility And Hedging Efficiency

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Author : Chandra Bhola
language : en
Publisher: Ary Publisher
Release Date : 2023-06-10

Futures Trading Impact On Stock Market Volatility And Hedging Efficiency written by Chandra Bhola and has been published by Ary Publisher this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-06-10 with categories.

This study investigates the impact of futures trading on stock market volatility and hedging efficiency, focusing on the S&P CNX Nifty index and select stocks in India. By conducting a comprehensive analysis, this research aims to examine the relationship between futures trading activity and its influence on market volatility and the effectiveness of hedging strategies. The study utilizes empirical methods to evaluate the effects of futures trading on stock market volatility. It analyzes the S&P CNX Nifty index, which represents the broader market, and specific individual stocks to understand how futures trading impacts price fluctuations and overall market stability. Furthermore, the research assesses the hedging efficiency of futures contracts as risk management tools. It examines whether investors can effectively hedge their positions and reduce portfolio risk through futures trading. By evaluating the effectiveness of hedging strategies in the context of the Indian stock market, this study provides valuable insights for market participants. Overall, this study delves into the impact of futures trading on stock market volatility and hedging efficiency in India. By examining the S&P CNX Nifty index and select stocks, it aims to shed light on the relationship between futures trading and market dynamics. The findings contribute to the understanding of risk management practices and assist investors in making informed decisions related to hedging strategies in the Indian stock market.

Index Futures Trading And Spot Market Volatility Evidence From An Emerging Market

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Author : Kiran
language : en
Publisher:
Release Date : 2007

Index Futures Trading And Spot Market Volatility Evidence From An Emerging Market written by Kiran and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

Studies on the impact of futures introduction on the volatility of the underlying index report no increase in the spot volatility after the futures introduction. However, the prior studies do not comment on how exactly the information transmits from the futures market to the spot market. This paper focuses on investigating whether the change in the structure of spot volatility evolution process is due to the futures trading activity. The relation between the Futures trading activity (measured through trading volume and open interest) and spot index volatility is documented, following Bessembinder and Seguin (1992), by partitioning trading activity into expected and shock components by an appropriate ARMA model. The series are then appended in the variance equation through an appropriate ARMA-GARCH model, following Gulen and Mayhew (2000). Further, the study examines the effect of the Sept. 11th terrorist attack has had on the Nifty spot-futures relation.The study concludes that post the Sept. 11th attack, the relation between Futures Trading Activity and Spot volatility has strengthened, implying that the market has become more efficient in assimilating the information into its prices. This is evident in both volume and open interest (expected and activity shock) being significant post Sept. 11 while not being significant pre Sept. 11.

An Empirical Examination Of Information Differences Of Opinion And Trading Activity

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Author : Hendrik Bessembinder
language : en
Publisher:
Release Date : 1994

An Empirical Examination Of Information Differences Of Opinion And Trading Activity written by Hendrik Bessembinder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Cash flow categories.

Futures Trading Activity Volatility And Daily Arrival Of Information Across U S And Hong Kong Markets

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Author :
language : en
Publisher:
Release Date : 2006

Futures Trading Activity Volatility And Daily Arrival Of Information Across U S And Hong Kong Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.

Trading Activity Program Trading And The Volatility Of Stock Returns

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Author : James T. Moser
language : en
Publisher:
Release Date : 1992

Trading Activity Program Trading And The Volatility Of Stock Returns written by James T. Moser and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Program trading (Securities) categories.