Stock Index Futures and the Effect on Cash Market in Italy

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Stock Index Futures and the Effect on Cash Market in Italy: Evidence from Changes in Indexes' Composition · Silvia Rigamonti · Roberto Barontini.

Stock Index Futures and the Effect on Cash Market in Italy: Evidence ...

(DOI: 10.2139/SSRN.248531) We study the price and volume effects on a stock following a change in the composition of the Italian Stock Exchange indexes, ...

Does the introduction of stock index futures effectively reduce stock ...

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 ...

INDEX FUTURES ACTIVITY AND STOCK MARKET VOLATILITY - jstor

tionship between stock index futures and spot market volatility for the Italian ... effect of futures trading on the volatility of the spot market for the Italia.

Information transmission and causality in the Italian Treasury bond ...

The explanations put forward for this phenomenon are of two types: market frictions that slow the adjustment of the cash index value, such as infrequent trading ...

INDEX FUTURES TRADING AND STOCK MARKET VOLATILITY

Therefore, it can have a stabilizing effect on spot market. In the markets of Eastern Europe stock future indexes appeared during the last 18 years. A lot of ...

The Impact of Stock Index Futures on Spot Market Volatility

Stock index futures and its effect on spot market. The ... of Bologna and Cavallo (2002) for the Italian stock exchange based on GARCH model indicates.

Analysis of the Effect of Index Futures on Stock Market with a New ...

For example, Kang and Yoon (2007) found that the spot market became more volatile after the introduction of five Index Futures in Asia based on GARCH, GJR-GARCH ...

Does the Introduction of Stock Index Futures Effectively Reduce ...

The impact of futures trading on the underlying asset volatility, and its characteristics, is still debated both in the economic literature and ...

Does Futures Trading Increase Stock Market Volatility

238 Citations · The Effect of Futures Trading on Cash Market Volatility: Evidence from the London Stock Exchange · Index Futures Trading and Spot Price Volatility.

THE IMPACT OF EQUITY INDEX FUTURES TRADING ON THE ...

Many academicians have claimed that the introduction of the futures contracts will lead to an increase in the spot market volatility and ...

Coordination Between Cash and Derivative Markets - IOSCO

the market;. BMO sif 。 They have some adverse impact on price discovery;. • They increase the divergence between stock prices and stock index futures prices;.

Spill Over Effects of Futures Contracts Initiation on the Cash Market

Antoniou et.al. (1998), 'The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of ...

Index Futures Activity and Stock Market Volatility - ResearchGate

This paper examines the impact of MIB30 Index Futures on the volatility of the Italian Stock Exchange. The results suggest that the onset of futures trading ...

The impact of futures trading on volatility of the underlying asset in ...

Bologna and Cavallo [7], in their studies on the MIB30 index in the Italian market, found that the introduction of stock index futures had led to diminish the ...

The Effect of Futures Trading on the Underlying Volatility

The result shows that, there was no destabilization of spot market as result of the introduction of equity index futures contracts in Italy. They concluded that ...

Back to the Futures: How Derivative Pricing Can Impact Index Funds

As a result of the rise in futures pricing, it has become even more important that asset managers are deliberate in their decisions for cash: ...

Stock Index Futures Trading Impact on Spot Price Volatility. The CSI ...

Other researchers state that futures trading increases spot market volatility due to a high degree of leverage and excessive speculative acts in futures markets ...

the effect of futures contracts on the stock market volatility: an ...

Evidence from the Italian Stock Exchange Using GARCH”. Applied Financial ... “The Impact of Stock Index Futures on the Turkish Spot Market”. Journal of ...