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The Impact Of The Introduction Of Index Futures Contract On The Price Volatility In The Underlying Stock Market
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Book Synopsis “The” Impact of the Introduction of Index Futures Contract on the Price Volatility in the Underlying Stock Market by : Philip Hsu
Download or read book “The” Impact of the Introduction of Index Futures Contract on the Price Volatility in the Underlying Stock Market written by Philip Hsu and published by . This book was released on 2000 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The impact of the introduction of index futures contracts on the price volatility in the underlying stock market by : Philip Hsu
Download or read book The impact of the introduction of index futures contracts on the price volatility in the underlying stock market written by Philip Hsu and published by . This book was released on 2000 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Derivatives and Hedge Funds by : Stephen Satchell
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.
Book Synopsis 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. by : Pierluigi Bologna
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.
Book Synopsis The Effect of Futures Trading on Cash Market Volatility by : Gary Robinson
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:
Book Synopsis Regulatory Reform of Stock and Futures Markets by : Franklin R. Edwards
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:
Book Synopsis Futures Trading Activity and Stock Price Volatility by : Hendrik Bessembinder
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:
Book Synopsis Stock Index Futures by : Charles M.S. Sutcliffe
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 534 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 :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)
Book Synopsis Review of Recent Volatility in the Stock Market and the Stock Index Futures Markets by : United States. Congress. House. Committee on Agriculture. Subcommittee on Conservation, Credit, and Rural Development
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:
Book Synopsis Futures Trading Impact on Stock Market Volatility and Hedging Efficiency by : Chandra Bhola
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.
Book Synopsis The Impact of CSI 300 Index Futures Introduction on Underlying Stock Liquidity by : Peng William He
Download or read book The Impact of CSI 300 Index Futures Introduction on Underlying Stock Liquidity written by Peng William He and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines liquidity in the China stock market around the introduction of the CSI 300 Index Futures contract. Two competing hypotheses are tested. Liquidity of constituents stocks in the underlying index may worsen as passive and uninformed investors migrate to the futures market. On the other hand, underlying stock market liquidity may improve if the index futures attract more informed investor and promote price discovery through the creation of a short selling avenue. Analysis in this study suggests that liquidity of the CSI 300 stocks decreases after the introduction of the CSI 300 Index Futures, after controlling for factors generally known to affect stock liquidity such as volume and volatility. We investigate the subject further by considering commonality in liquidity, and find that the results are robust after controlling for market wide conditions. This study further tests the effect of the introduction of the stock index futures on the volatility of the index, and finds an increase in conditional volatility in under the GARCH (1, 1) framework.
Book Synopsis Effect of Equity Index Futures Trading on Stock Market Volatility by : Suqin Gu
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.
Download or read book The Review of Futures Markets written by and published by . This book was released on 1994 with total page 738 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Price Discovery and Volatility Spillovers in Index Futures Markets by : Maosen Zhong
Download or read book Price Discovery and Volatility Spillovers in Index Futures Markets written by Maosen Zhong and published by . This book was released on 2004 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the hypotheses that the recently established Mexican stock index futures market effectively serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying spot market. We test both hypotheses simultaneously with daily data from Mexico in the context of a modified EGARCH model that also incorporates possible cointegration between the futures and spot markets. The evidence supports both hypotheses, suggesting that the futures market in Mexico is a useful price discovery vehicle, although futures trading has also been a source of instability for the spot market. Several managerial implications are derived and discussed.
Book Synopsis Stock index futures trading and volatility in international equity markets by : Huseyin Gulen
Download or read book Stock index futures trading and volatility in international equity markets written by Huseyin Gulen and published by . This book was released on 1999 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Stock Index Futures Market by : B. Thomas Byrne
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 :New York Stock Exchange. Market Volatility and Investor Confidence Panel Publisher : ISBN 13 : Total Pages :396 pages Book Rating :4.:/5 ( download)
Book Synopsis Market Volatility and Investor Confidence by : New York Stock Exchange. Market Volatility and Investor Confidence Panel
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:
