The Effects Of Stock Index Futures On Cash Market Volatility
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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 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.
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.
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.
Cash Trading And Index Futures Price Volatility
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Author : Jinliang Li
language : en
Publisher:
Release Date : 2013
Cash Trading And Index Futures Price Volatility written by Jinliang Li 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 study examines the effect of cash market liquidity on the volatility of stock index futures. Two facets of cash market liquidity are considered: (1) the level of liquidity trading proxied by the expected New York Stock Exchange (NYSE) trading volume and (2) the noise composition of trading proxied by the average NYSE trading commission cost. Under the framework of spline - GARCH with a liquidity component, both the quarterly average commission cost and the quarterly expected NYSE volume are negatively associated with the ex ante daily volatility of S&P 500 and NYSE composite index futures. Conversely, liquidity and noise trading in the cash market both dampen futures price volatility, ceteris paribus. This negative association between secular cash trading liquidity and daily futures price volatility is amplified during times of market crisis. These results retain statistical significance and materiality after controlling for bid - ask bounce of futures prices and volume of traded futures contracts. This study establishes empirical evidence to affirm the conventional prediction of a liquidity-volatility relationship: the liquidity effect is secular and persistent across markets.
Stock Index Futures Trading And Spot Market Volatility
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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.
Does Futures Trading Increase Stock Market Volatility
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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.
Review Of Recent Volatility In The Stock Market And The Stock Index Futures Markets
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Author : United States. Congress. House. Committee on Agriculture. Subcommittee on Conservation, Credit, and Rural Development
language : en
Publisher:
Release Date : 1988
Review Of Recent Volatility In The Stock Market And The Stock Index Futures Markets written by United States. Congress. House. Committee on Agriculture. Subcommittee on Conservation, Credit, and Rural Development and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Stock exchanges categories.
Stock Index Futures
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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.
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.