Futures Trading Activity And Stock Price Volatility
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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 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.
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 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.
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.
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.
Derivatives And Hedge Funds
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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
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Author : Gary Robinson
language : en
Publisher:
Release Date : 1993
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 1993 with Finance categories.