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Author : Wen-Yuan Cho
Publisher :
ISBN 13 :
Total Pages : 90 pages
Book Rating : 4.:/5 (52 download)
Download or read book Does Index Futures Trading Increase the Volatility of the Stock Market? written by Wen-Yuan Cho and published by . This book was released on 2001 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eric C. Chang
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.3/5 ( download)
Download or read book Does Futures Trading Increase Stock Market Volatility? written by Eric C. Chang and published by . This book was released on 1995 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stephen Satchell
Publisher : Springer
ISBN 13 : 1137554177
Total Pages : 416 pages
Book Rating : 4.1/5 (375 download)
Download or read book Derivatives and Hedge Funds written by Stephen Satchell and published by Springer. This book was released on 2016-05-18 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : United States. Congress. House. Committee on Agriculture. Subcommittee on Conservation, Credit, and Rural Development
Publisher :
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.0/5 (17 download)
Download or read book 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 published by . This book was released on 1988 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gary Robinson
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Effect of Futures Trading on Cash Market Volatility written by Gary Robinson and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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%.
Author : Franklin R. Edwards
Publisher : Springer Science & Business Media
ISBN 13 : 9400921934
Total Pages : 201 pages
Book Rating : 4.4/5 (9 download)
Download or read book Regulatory Reform of Stock and Futures Markets written by Franklin R. Edwards and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charles M.S. Sutcliffe
Publisher : Routledge
ISBN 13 : 1351148540
Total Pages : 844 pages
Book Rating : 4.3/5 (511 download)
Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Lawrence Harris
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.3/5 (511 download)
Download or read book S&P 500 Cash Stock Price Volatilities written by Lawrence Harris and published by . This book was released on 1989 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pierluigi Bologna
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book 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 published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Hendrik Bessembinder
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.3/5 ( download)
Download or read book Futures Trading Activity and Stock Price Volatility written by Hendrik Bessembinder and published by . This book was released on 1992 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hendrik Bessembinder
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.3/5 ( download)
Download or read book Return Volatility, Cross-sectional Dispersion, and Trading Activity in the Equity and Futures Markets written by Hendrik Bessembinder and published by . This book was released on 1993 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Suqin Gu
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (13 download)
Download or read book Effect of Equity Index Futures Trading on Stock Market Volatility written by Suqin Gu and published by . This book was released on 2013 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : James B. Bittman
Publisher : McGraw Hill Professional
ISBN 13 : 9780071367424
Total Pages : 344 pages
Book Rating : 4.3/5 (674 download)
Download or read book Trading Index Options written by James B. Bittman and published by McGraw Hill Professional. This book was released on 1998-06-21 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Designed and written for active traders who are interested in practical information that can improve their results, Trading Index Options offers tried-and-true techniques without a lot of theory and math. Bittman provides traders with the know-how to evaluate practical situations and manage positions. Among the key features: the basics of index options, including various spreads; how to match strategies with forecasts; alternatives for losing positions; the importance of price behavior and volatility. A windows-based software program that provides multiple option pricing and graphing is included in the package.
Author : New York Stock Exchange. Market Volatility and Investor Confidence Panel
Publisher :
ISBN 13 :
Total Pages : 396 pages
Book Rating : 4.:/5 ( download)
Download or read book Market Volatility and Investor Confidence written by New York Stock Exchange. Market Volatility and Investor Confidence Panel and published by . This book was released on 1990 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : B. Thomas Byrne
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 380 pages
Book Rating : 4.3/5 ( download)
Download or read book The Stock Index Futures Market written by B. Thomas Byrne and published by Irwin Professional Publishing. This book was released on 1987 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yue-Cheong Chan
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (129 download)
Download or read book Volatility, Volume and Pricing Efficiency in the Stock Index Futures Market When the Underlying Cash Market Does Not Trade written by Yue-Cheong Chan and published by . This book was released on 2002 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents an event study of the trading of Hang Seng Index (HSI) futures contracts on the Hong Kong Futures Exchange (HKFE) after it begins to open fifteen minutes earlier and close fifteen minutes later than the underlying cash market, the Stock Exchange of Hong Kong (SEHK) in November 1998. The empirical results show that the extension of trading hours in the HKFE causes futures traders to shift their orders from other sessions of the day to the first 15-minute trading session preceding the opening in cash market. However, the increase in trading volume during the opening session does not bring any corresponding upsurge in return volatility. Instead, futures returns during the opening session are found to be relatively less volatile than before. In addition, the futures contract opening prices appear to have little change (or even reduction) in pricing errors when compared with the pre-extension period. These observations suggest that trading activities during the extended opening session of the futures market are dominated by the better-informed traders which help to speed up the price discovery process in the market. On the other hand, there are no notable changes in return volatility, trading volume and pricing efficiency in the last 15-minute trading session of the HKFE during the post-extension period.
Author : A. Loosigian
Publisher : Addison Wesley Publishing Company
ISBN 13 :
Total Pages : 264 pages
Book Rating : 4.3/5 (97 download)
Download or read book Stock Index Futures written by A. Loosigian and published by Addison Wesley Publishing Company. This book was released on 1985-01-21 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
