Stock Index Futures Trading And Spot Market Volatility
DOWNLOAD
Download Stock Index Futures Trading And Spot Market Volatility PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Stock Index Futures Trading And Spot Market Volatility 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
Stock Index Futures Trading And Spot Market Volatility
DOWNLOAD
Author : George Karathanassis
language : en
Publisher:
Release Date : 2006
Stock Index Futures Trading And Spot Market Volatility written by George Karathanassis 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.
This paper investigates possible spill-over effects on the Spot Market due to the initiation of Futures contracts. According to many analysts there still exists a puzzle regarding the stabilization or destabilization effects of futures contracts. Although the speculative forces (uninformed investors) tend to destabilize the market, rational hedging strategies and the transition of risk allow for stabilization shift. In order to investigate this issue, many researchers during the last decade, have utilized the GARCH framework enriched to capture many stylized financial features, such as the asymmetric response to news and leptokurtosis. However, in this paper the GARCH framework is extended to allow for skewness in the return's distribution and to examine the timing of possible structural changes, while the conditional mean of the process is adjusted to account for time-varying risk premia and for the day of the week effects decomposition. Furthermore, the distinguishing feature of this paper is the SWARCH econometric model, which enables a dynamic regime shifting through a Markov Chain transition matrix. According to the empirical findings on the FTSE-20/ASE futures contract, there exists a significant stabilization effect on the long run, while in the short run this seems to be non-robust.
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 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.
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.
Futures Trading Activity And Stock Price Volatility
DOWNLOAD
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.
Derivatives Trading And Spot Market Volatility
DOWNLOAD
Author : David Cronin
language : en
Publisher:
Release Date : 1992
Derivatives Trading And Spot Market Volatility written by David Cronin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Foreign exchange futures categories.
Index Futures Trading And Spot Market Volatility Evidence From An Emerging Market
DOWNLOAD
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.
Does Index Futures Trading Reduce Volatility In The Chinese Stock Market A Panel Data Evaluation Approach
DOWNLOAD
Author : Haiqiang Chen
language : en
Publisher:
Release Date : 2013
Does Index Futures Trading Reduce Volatility In The Chinese Stock Market A Panel Data Evaluation Approach written by Haiqiang Chen 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 introducing index futures trading on the spot price volatility in the Chinese stock market. We employ a recently developed panel data policy evaluation approach (Hsiao et al. 2011) to construct counterfactuals of the spot market volatility, based mainly on cross-sectional correlations between the Chinese and international stock markets. This new method does not need to specify a particular regression or a time series model for the volatility process around the introduction date of index futures trading, and thus avoids the potential omitted variable bias caused by uncontrolled market factors in the existing literature. Our results provide empirical evidence that the introduction of index futures trading significantly reduces the volatility of the Chinese stock market, which is robust to different model selection criteria and various prediction approaches.
Trading Mechanisms Speculative Behavior Of Investors And The Volatility Of Prices
DOWNLOAD
Author : Hun Y. Park
language : en
Publisher:
Release Date : 1989
Trading Mechanisms Speculative Behavior Of Investors And The Volatility Of Prices written by Hun Y. Park and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Prices categories.
This paper compares the volatility of spot prices (dealership market) with that of futures prices (auction market) to test the implications of different trading mechanisms for the volatility of prices. First, a natural estimator of the volatility is sued. Using the intraday data of the major Market Index and its futures prices, we show that the volatility of opening prices is higher than that of closing prices not only in the spot market but in the futures market, and that the intraday volatility patterns are U-shaped in both markets. Of particular interest is that futures prices do not appear to be as volatile as spot prices when the natural estimator of volatility is used, to the contrary of the conventional wisdom. We argue that the different volatility patterns during the day are not necessarily due to the different trading mechanisms, auction market versus dealership market. Instead, after developing a simple theoretical model of speculative prices, we show that at least part of the different volatility patterns during the day may be attributable to speculative behavior of investors based on heterogeneous information. In addition, we further investigate the volatilities of spot and futures prices using a temporal estimator of price volatility as an alternative to the natural estimator. Based on the temporal estimator, we cannot find any systematic pattern of volatilities during the day in both spot and futures markets, and that futures prices appear to be more volatile than spot prices in terms of how quickly the price moves beyond a given unit price level, but not in terms of how much the price changes during a given unit time interval. Some policy implications are also discussed.
The Effect Of Index Futures Trading On Volatility
DOWNLOAD
Author : Martin T Bohl
language : en
Publisher:
Release Date : 2014
The Effect Of Index Futures Trading On Volatility written by Martin T Bohl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Derivative securities categories.