INDEX FUTURES ACTIVITY AND STOCK MARKET VOLATILITY

INDEX FUTURES ACTIVITY AND STOCK MARKET VOLATILITY - jstor

DAX30 index futures contract and ahead of the French derivatives exchange. MONEP-MATIF with a turnover of ECU 341.05bln3. By analysing these statistical data we ...

Index Futures Activity and Stock Market Volatility: An Empir

Further, the results point out that lagged futures volume is inversely related to stock market conditional volatility. These findings are consistent with those ...

Index Futures Activity and Stock Market Volatility - ResearchGate

The securities which are allowed to trade in the derivatives market, in spite of their lower number, significantly impact the securities which are not allowed ...

INDEX FUTURES TRADING AND STOCK MARKET VOLATILITY

Thus, the spot price movements can be largely influenced by introduction of index futures market through hedging, speculation activities and arbitrage seeking ...

Does futures trading increase stock market volatility? The case of the ...

Because this increased volatility is not diversifiable, stock index futures are implicated for their negative impact on market processes.1. Tests that compare ...

The Effects of Index Futures Trading Volume on Spot Market ... - MDPI

The existing literature has provided mixed evidence on the effect of futures volume on spot market volatility (SMV). One group of studies ...

Index futures trading, information and stock market volatility - CORE

By contrast, Robinson22 provides evidence of a stabilising effect of futures trading activity on the volatility of the FTSE 100 index. Antoniou et al.,23.

The Impact of Stock Index Futures on Stock Market Volatility

Using the daily closing price data of four stock indexes in mature markets and emerging markets, the impact of stock index futures on the volatility of ...

What Are Index Futures & How Do They Work? - tastytrade

Equity indices and volatility futures offer investors the ability to speculate on overall market direction and sentiment. Equity index futures enable ...

How to Use Index Futures - Investopedia

12 Liquidity in index futures drops outside stock exchange trading hours because the index arbitrage players can no longer ply their trade. If the futures price ...

index futures introduction and stock market - PhilArchive

Apply GARCH model of volatility with ad- ditive dummy variable from 28/7/2000 to 10/9/2020, the result shows that when the first listed index futures contract ...

Index Futures Activity and Stock Market Volatility: An Empirical ...

Further, the results point out that lagged futures volume is inversely related to stock market conditional volatility. These findings are ...

Stock index futures trading and volatility in - ProQuest

Today, stock index futures and options trade in markets all over the world, with new contracts launched nearly every year. Table 1 reports launch dates for ...

Equity index futures contracts and share price volatility

These studies have lead to the development of two schools of thought: • Trading activity in equity index futures contracts leads to an increase in the ...

CBOE Volatility Index (VIX): What Does It Measure in Investing?

The VIX generally rises when stocks fall, and declines when stocks rise. How Does the CBOE Volatility Index (VIX) Work? The VIX attempts to ...

The Effect of Futures Trading on the Underlying Volatility

Since their introduction, stock index futures markets have experienced a substantial increase in trading activity. Financial futures contracts are key ...

Do Futures and Options trading increase stock market volatility? - NSE

any link between trading activity variables in the futures market and spot market volatility. ... Gulen, Huseyin and Stewart Mayhew, 2000, Stock Index Futures ...

Index Futures Trading and Spot Price Volatility - ResearchGate

For example, Spyrou (2005) investigated the volatility effect issue from futures market to spot market for the Athens Stock Exchange, during ...

Can the introduction of stock index futures stabilize the volatility of ...

However, as a common financial derivative instrument in the financial markets of the world, stock index futures are a double-edged sword for the stability of ...

[PDF] Do Futures and Options trading increase stock market volatility

The objective of this study is to assess the impact of introducing index futures and options contracts on the volatility of the underlying stock index in ...