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Author : Gary Robinson
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 ( 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 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gary Robinson
Publisher :
ISBN 13 : 9781857300376
Total Pages : 32 pages
Book Rating : 4.3/5 (3 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 1993 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Allan Hodgson
Publisher :
ISBN 13 : 9780858348332
Total Pages : 21 pages
Book Rating : 4.3/5 (483 download)
Download or read book The Effects of Futures Trading on Stock Market Volatility written by Allan Hodgson and published by . This book was released on 1989 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Al MacGartland
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (256 download)
Download or read book The Effects of Stock Index Futures on Cash Market Volatility written by Al MacGartland and published by . This book was released on 1989 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chandra Bhola
Publisher : Ary Publisher
ISBN 13 : 9788798623045
Total Pages : 0 pages
Book Rating : 4.6/5 (23 download)
Download or read book Futures Trading Impact on Stock Market Volatility and Hedging Efficiency written by Chandra Bhola and published by Ary Publisher. This book was released on 2023-06-10 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the impact of futures trading on stock market volatility and hedging efficiency, focusing on the S&P CNX Nifty index and select stocks in India. By conducting a comprehensive analysis, this research aims to examine the relationship between futures trading activity and its influence on market volatility and the effectiveness of hedging strategies. The study utilizes empirical methods to evaluate the effects of futures trading on stock market volatility. It analyzes the S&P CNX Nifty index, which represents the broader market, and specific individual stocks to understand how futures trading impacts price fluctuations and overall market stability. Furthermore, the research assesses the hedging efficiency of futures contracts as risk management tools. It examines whether investors can effectively hedge their positions and reduce portfolio risk through futures trading. By evaluating the effectiveness of hedging strategies in the context of the Indian stock market, this study provides valuable insights for market participants. Overall, this study delves into the impact of futures trading on stock market volatility and hedging efficiency in India. By examining the S&P CNX Nifty index and select stocks, it aims to shed light on the relationship between futures trading and market dynamics. The findings contribute to the understanding of risk management practices and assist investors in making informed decisions related to hedging strategies in the Indian stock market.
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 : Brajesh Kumar
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (129 download)
Download or read book Effect of Futures Trading on Spot Market Volatility written by Brajesh Kumar and published by . This book was released on 2011 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the relationship between futures trading activity and spot market volatility for agricultural, metal, precious metals and energy commodities in Indian commodity derivatives market. This article contributes to the debate whether the futures trading in Indian commodity futures market stabilizes or destabilizes spot market. We explore this issue by modeling contemporaneous as well as dynamic relationship between spot volatility and futures trading activity including trading volume (speculative/day trading) and open interest (hedging). Following Bessembinder and Senguin (1992), we examine contemporaneous relationship through augmented GARCH model in which spot volatility is modeled as GARCH (1,1) process and trading activity is used as explanatory variable. We also decompose futures trading volume and open interest series into expected and unexpected component. The lead-lag relationship between spot price volatility and futures trading volume and open interest is investigated through VAR model. Granger causality tests, forecast error variance decompositions and impulse response function are used to understand the dynamic relationship between these variables. We found that both expected and unexpected futures trading volume affects contemporaneous spot volatility positively. However, in case of agricultural commodities only unexpected volume affects the contemporaneous spot volatility. Granger causality tests, forecast error variance decompositions and impulse response function confirm that the lagged unexpected volatility causes spot price volatility for all commodities. The effect of speculative/day trading activity measured by trading volume on spot market volatility is positive. However, hedging activity measured by open interest does not show significant effect on spot market volatility. We do not find any effect of spot volatility on futures trading activity for most of the commodities.
Author : David Cohen
Publisher :
ISBN 13 :
Total Pages : 135 pages
Book Rating : 4.:/5 (249 download)
Download or read book Price Effects of Financial Futures Trading written by David Cohen and published by . This book was released on 1982 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been much concern voiced over the possible spot market volatility effects of the new financial futures markets, particularly in a study by the Federal Reserve Board and the Treasury Department regarding Treasury instrument futures markets. This study is designed to provide evidence on the spot price volatility effects of futures trading in 90-day Treasury Bills, The method of analysis is to first identify periods of time that are roughly similar in their overall capital market volatility, but differ in that one period is before TBill futures trading began and its comparable period is after TBill futures trading began. Next several econometric techniques are used to estimate models of interest rate determination. The estimation produces measures of spot TBill rate volatility for each of the comparable periods which are then used in a pairwise fashion to ascertain the spot price volatility effects of futures trading. The interest rate models come from the rather large body of macroeconomics literature dealing with the formation of interest rates. The econometric techniques span different assumptions imposed on the models and each technique provides consistent estimates of the model parameters under the stated conditions. Further, simple analysis of daily and weekly TBill rates is performed to provide continuity with studies of futures market spot price effects in other commodities. The results of all the statistical tests suggest that Treasury Bill futures trading does not increase spot market volatility during relatively stable periods of capital market activity, but is associated with increased spot Treasury Bill market volatility during times when overall capital market conditions are volatile. These results indicate that Treasury Bill futures trading alone does not increase spot market volatility, contrary to the hypothesis that simply the existence of financial futures trading destabilizes the underlying spot market.
Author : Ronald Britto
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.0/5 ( download)
Download or read book Futures Trading and the Level and Volatility of Spot Prices written by Ronald Britto and published by . This book was released on 1985 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jinliang Li
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (13 download)
Download or read book Cash Trading and Index Futures Price Volatility written by Jinliang Li and published by . This book was released on 2013 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Simon J. McDonald
Publisher :
ISBN 13 :
Total Pages : 120 pages
Book Rating : 4.:/5 (216 download)
Download or read book Futures Trading and Cash Market Volatility written by Simon J. McDonald and published by . This book was released on 1993 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the impact of the introduction of futures trading in New Zealand on the volatility of underlying assets.
Author : Alan Picard
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (462 download)
Download or read book The Effect of Futures Markets on Spot Market Volatility written by Alan Picard and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Futures markets have been blamed for higher volatility in the underlying asset market. A popular belief is that trading activity in futures markets encourage speculation, which destabilizes the spot market. The alleged destabilization takes the form of higher spot market volatility. On the other hand, a favorable view is that futures trading helps stabilizing the underlying market and leads to more complete markets and enhanced information flows. The numerous papers that have studied the effect of the introduction of derivatives on the underlying assets have obtained different results. This paper analyses the effect of the introduction of futures markets on the underlying market for Canadian bankers' acceptances. More specifically this study investigates the contention that the introduction of the futures (BAX) on the Montreal exchange on April 24 th 1988 has affected the volatility of the underlying asset. To study this effect, several models and approaches are used such as the GARCH process and others models and approaches formulated by several academics who studied this issue for other underlying spot markets.
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 : Franklin R. Edwards
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.0/5 ( download)
Download or read book Taxing Transactions in Futures Markets written by Franklin R. Edwards and published by . This book was released on 1991 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 536 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Review of Futures Markets written by and published by . This book was released on 1994 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James T. Moser
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.3/5 ( download)
Download or read book Evidence on the Impact of Futures Margin Specifications on the Performances of Futures and Cash Markets written by James T. Moser and published by . This book was released on 1990 with total page 76 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 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:
