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Impact Of Single Stock Futures On The Volatility Of Underlying Russian Stocks
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Book Synopsis Impact of Single Stock Futures on the Volatility of Underlying Russian Stocks by : Thadavillil Jithendranathan
Download or read book Impact of Single Stock Futures on the Volatility of Underlying Russian Stocks written by Thadavillil Jithendranathan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper looks into the effect of Single Stock Futures (SSF) introduction on the trading volume and volatility of underlying stocks in two different Russian markets. The results indicate that there is very little evidence of trading volume shift from the spot market to the futures markets. Using a GARCH (1,1) model the underlying stock volatility for 5 different stocks are estimated and these results indicate that there is a reduction in volatility after the introduction of SSF in the majority of the stocks. Granger causality tests do not indicate that the futures trading causes significant changes in stock volatility.
Book Synopsis Impact of Single Stock Futures on the Volatility of Underlying Indian Stocks by : Thadavillil Jithendranathan
Download or read book Impact of Single Stock Futures on the Volatility of Underlying Indian Stocks written by Thadavillil Jithendranathan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study aims to test the influence of the introduction of derivative contracts on the volatility of the underlying asset. This study uses the introduction of single stock futures (SSF) listed on the National Stock Exchange of India to test the influence on the volatility of the underlying stock returns. An interesting aspect of the Indian SSF market is that for many of the stocks the volume traded on the SSF market is higher than that of the underlying stock market. Results support the hypothesis that introduction of single stock futures reduce the volatility of the returns of the underlying stock.
Book Synopsis The Complete Guide to Single Stock Futures by : Russell R. Wasendorf
Download or read book The Complete Guide to Single Stock Futures written by Russell R. Wasendorf and published by McGraw Hill Professional. This book was released on 2003-12-22 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: Single stock futures are quickly becoming among the market's most important trading vehicles, and Russell Wasendorf's Peregrine Financial Group accounts for 20 to 50 percent of daily U.S. trading volume! In The Complete Guide to Single Stock Futures, Wasendorf provides traders with: Analyses of the latest rules and regulations How to apply technical and fundamental analysis • Best exchanges for trading Essential valuation techniques • And much more
Book Synopsis Single Stock Futures and Their Impact on Risk Characteristics of the Underlying Stocks by : Imran Riaz Malik
Download or read book Single Stock Futures and Their Impact on Risk Characteristics of the Underlying Stocks written by Imran Riaz Malik and published by . This book was released on 2018 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The concern regarding destabilizing ability of trading in futures markets in terms of increase in risk is still unresolved in developed and developing economies. This discussion also prevailed in Pakistan after the Global Financial Crisis (GFC). To investigates this concern with respect to Single Stock Futures (SSFs) and their impact on the underlying stocks, this study made use of data from 1999 to 2008. Speci cally, this study investigates the introduction of SSFs in relevance to their impact on the systematic and unsystematic risk of their counterparts. The statistical results of the study show that introduction of SSFs does not enhance the overall risk of the underlying stocks. Therefore, it can be concluded that SSFs cannot be blamed for any apparent volatility in the Pakistan Stock Exchange (PSX) at and before GFC. There could be some other reasons for change in risk level (accounting and macroeconomic fundamentals or industry speci fic etc.). The results of this study are in line with a category of earlier studies, which show that introduction of futures do not destabilize the underlying market. The study implies that flexible regulated futures markets can improve price discovery and liquidity of the market, while acting as an agent for hedgers.
Book Synopsis Single Stock Futures Trading and Its Impact on Feedback Trading and Volatility by : Imran Riaz Malik
Download or read book Single Stock Futures Trading and Its Impact on Feedback Trading and Volatility written by Imran Riaz Malik and published by . This book was released on 2018 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we examine the possibility of an impact of the resumption of trading in Single Stock Futures (SSFs) on the dynamics (positive feedback trading and price volatility) of the underlying stocks in Pakistan's market. Specifically, we test the hypothesis that trading in SSFs promotes or inhibits positive feedback trading in the spot market. Analyzing SSFs has several advantages over investigation of index futures. First, any impact of futures is more likely to be evident in the behavior of SSFs than index futures. Second, with SSFs it is possible to trade directly in the underlying stocks, and the endogeneity issue can be taken care of by using a relatively weighted portfolio of non-SSFs stocks. The findings of our study suggest that there is a statistically insignificant presence of positive feedback trading in both pre-SSFs period to post-SSFs period for both SSFs-listed stocks and a matching group of non-SSFs stocks. Furthermore, the unconditional volatility has significantly changed in both SSFs and non-SSFs, while asymmetry coefficient is statistically insignificant for SSFs but significant for non-SSFs. Overall our findings suggest that resumption of SSFs neither promotes nor inhibits feedback trading in the underlying spot market in Pakistan.
Book Synopsis Resumption of Single Stock Futures (SSFs) with Stringent Regulations and Their Impact on the Risk Characteristics of the Underlying Stocks by : Imran Riaz Malik
Download or read book Resumption of Single Stock Futures (SSFs) with Stringent Regulations and Their Impact on the Risk Characteristics of the Underlying Stocks written by Imran Riaz Malik and published by . This book was released on 2017 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the stock market turmoil and later on in the year 2008, the Securities and Exchange Commission of Pakistan (SECP) suspended trading in futures products at the Karachi Stock Exchange (KSE) due to their proven destabilizing role in Global Financial Crises (GFC). On July 27th 2009, the Single Stock Futures (SSFs) were re-launched with stringent regulations for their trading in stock market. In this study, an attempt is made to identify changes in the volatility dynamics of underlying stocks after resumption of SSFs in KSE with tighter regulations than before and whether stringent regulations are justified or not. Specifically, the study decomposes volatility into systematic and unsystematic risk components and investigates the inherent changes in the underlying stocks' volatility subsequent to the resumption of SSFs. The findings suggest that the decrease in the systematic and unsystematic risk cannot be attributed to the firms' contract listing, but contemporaneous market, industry or macroeconomic changes. The findings may imply that stringent regulations are unjustified, which may reduce the liquidity and efficiency of the market and do no good to the market.
Book Synopsis Availability and Settlement of Individual Stock Futures and Options Expiration Effects by : Donald D. Lien
Download or read book Availability and Settlement of Individual Stock Futures and Options Expiration Effects written by Donald D. Lien and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines whether the expiration-day effects of stock options traded in Australian Stock Exchange on return, volatility, trading volume, and temporary price changes of individual stocks vary with the availability and the settlement method of individual stock futures contracts. Using transaction data of the stocks that have both options and futures contacts from 1993 to 1997, we find that options expiration has significant effects on return and volatility of the underlying stocks in absence of individual stock futures. After introduction of a cash-settled stock futures contract, the effects decrease notably. However, the switch of a futures contract from cash settlement to physical delivery promotes the expiration effects on return and volatility and boosts temporary price changes on expiration days. Finally, options expiration has little effect on trading volume. Trading activity tends to behave normally regardless whether stock futures contracts are available or not.
Book Synopsis Impact of Single Stock Futures Trading on Underlying Stock Market in India by : Thanachai Bunsaisup
Download or read book Impact of Single Stock Futures Trading on Underlying Stock Market in India written by Thanachai Bunsaisup and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Trading Volatility by : Colin Bennett
Download or read book Trading Volatility written by Colin Bennett and published by . This book was released on 2014-08-17 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. "A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!" Carole Bernard, Equity Derivatives Specialist at Bloomberg "This book could be seen as the 'volatility bible'!" Markus-Alexander Flesch, Head of Sales & Marketing at Eurex "I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money" Paul Stephens, Head of Institutional Marketing at CBOE "One of the best resources out there for the volatility community" Paul Britton, CEO and Founder of Capstone Investment Advisors "Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject" Edmund Shing PhD, former Proprietary Trader at BNP Paribas "In a crowded space, Colin has supplied a useful and concise guide" Gary Delany, Director Europe at the Options Industry Council
Book Synopsis An Introduction to Wavelets and Other Filtering Methods in Finance and Economics by : Ramazan Gençay
Download or read book An Introduction to Wavelets and Other Filtering Methods in Finance and Economics written by Ramazan Gençay and published by Elsevier. This book was released on 2001-10-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. - The first book to present a unified view of filtering techniques - Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series - Provides easy access to a wide spectrum of parametric and non-parametric filtering methods
Book Synopsis Does Insider Trading Raise Market Volatility? by : Mr.Julan Du
Download or read book Does Insider Trading Raise Market Volatility? written by Mr.Julan Du and published by International Monetary Fund. This book was released on 2003-03-01 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. The central finding is that countries with more prevalent insider trading have more volatile stock markets, even after one controls for liquidity/maturity of the market and the volatility of the underlying fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is quantitively significant when compared with the effect of economic fundamentals.
Book Synopsis Food Price Volatility and Its Implications for Food Security and Policy by : Matthias Kalkuhl
Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
Author :International Monetary Fund Publisher :International Monetary Fund ISBN 13 :9781557758521 Total Pages :226 pages Book Rating :4.7/5 (585 download)
Book Synopsis International Capital Markets by : International Monetary Fund
Download or read book International Capital Markets written by International Monetary Fund and published by International Monetary Fund. This book was released on 1999-09-24 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following a review and assessment of recent developments in capital market and banking systems, this year's International Capital Markets report reviews and assesses recent developments in mature and emerging financial markets and continues the analysis of key issues affecting global financial markets. It examines the systemic implications of the continued rapid development of the global over-the-counter derivatives markets and the expansion of foreign-owned banks into emerging markets. The report also analyzes market participants' assessments of the proposals for private sector involvement in the prevention and resolution crises.
Book Synopsis Volatility Trading, + website by : Euan Sinclair
Download or read book Volatility Trading, + website written by Euan Sinclair and published by John Wiley & Sons. This book was released on 2008-06-23 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility Trading, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading endeavors. With an accessible, straightforward approach. He guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of-and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals. As the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Development of Capital Markets and Institutional Investors in Russia by : Michel Noël
Download or read book Development of Capital Markets and Institutional Investors in Russia written by Michel Noël and published by World Bank Publications. This book was released on 2006 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study reviews the recent developments in capital markets and institutional investors in Russia, and examines the policy challenges ahead for the development of the sector. The analysis covers key impediments for further development and policy challenges for securities markets, in particular legal and regulatory framework, market infrastructure, government bonds, sub-sovereign bonds, corporate bonds, and equities. The analysis also covers key impediments for furhter development and policy challenges for mutual funds, pension funds, and insurance companies.
Book Synopsis Commodity Price Dynamics by : Craig Pirrong
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
