The Effect Of Stock Index Futures Trading On The Volatility Of The Italian Stock Exchange
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The Effect Of Stock Index Futures Trading On The Volatility Of The Italian Stock Exchange
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Author : Pierluigi Bologna
language : it
Publisher:
Release Date : 1999
The Effect Of Stock Index Futures Trading On The Volatility Of The Italian Stock Exchange 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 1999 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
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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.
Stock Index Futures And The Effect On Cash Market In Italy
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Author : Silvia Rigamonti
language : en
Publisher:
Release Date : 2001
Stock Index Futures And The Effect On Cash Market In Italy written by Silvia Rigamonti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
We study the price and volume effects on a stock following a change in the composition of the Italian Stock Exchange indexes, i.e. an inclusion in or an exclusion from the Mib30, that ranks the top 30 stocks by capitalization and liquidity, and the Midex, that includes the subsequent 25 stocks. We observe a different reaction of the MIB30 stocks prior to and after the Midex creation. Prior to the Midex creation, stocks included into the Mib30 experience an abnormal return of 7% that reverses to normal levels in the following 3 weeks; deletions exhibit a significant excess return of -4.8% over the event window preceding the change, which is not offset in the following weeks. With the creation of the Midex, stocks included in the Mib30 show a persistent negative abnormal return, while excluded stocks exhibit a temporary price pressure. On the contrary, stocks included into the Midex experience a significant abnormal return of 11%, while deleted stocks exhibit an abnormal return of -6.6% (significant at 10% level). Both effects seem to persist. We exclude that the information hypothesis may explain our evidence, since revisions are based on public information; results seem consistent with the price pressure hypothesis and with the existence of a liquidity premium, that changes once a stock is included in (or excluded from) the indexes on which a future contract is actively traded.
The Effect Of Futures Trading On Cash Market Volatility
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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%.
Asset Pricing Real Estate And Public Finance Over The Crisis
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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.
Stock Index Futures Trading And Volatility In International Equity Markets
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Author : Huseyin Gulen
language : en
Publisher:
Release Date : 1999
Stock Index Futures Trading And Volatility In International Equity Markets written by Huseyin Gulen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
The Effects Of Stock Index Futures On Cash Market Volatility
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Author : Al MacGartland
language : en
Publisher:
Release Date : 1989
The Effects Of Stock Index Futures On Cash Market Volatility written by Al MacGartland and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with categories.
The Effects Of Futures Trading On Stock Market Volatility
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Author : Allan Hodgson
language : en
Publisher:
Release Date : 1989
The Effects Of Futures Trading On Stock Market Volatility written by Allan Hodgson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Futures categories.
Effect Of Equity Index Futures Trading On Stock Market Volatility
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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.
The Effect Of Index Futures Trading On Volatility
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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.