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The Lead Lag Relationship Between Volatility Index Futures And Spot In The Korean Stock Market
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Book Synopsis The Lead-Lag Relationship Between Volatility Index Futures and Spot in the Korean Stock Market by : Rong-Yuan Qin
Download or read book The Lead-Lag Relationship Between Volatility Index Futures and Spot in the Korean Stock Market written by Rong-Yuan Qin and published by . This book was released on 2017 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This empirical study examines the short-run lead-lag relationship between the VKOSPI index futures and its underlying spot index and KOSPI index using daily data from September 17, 2014 to May 2017. We used the unit root test, Johansen-Juselius cointegration test, Granger causality analysis, impulse response function analysis, and variance decomposition analysis to test the hypothesis that the futures market with no market frictions leads the spot market in this analysis. The results of these analyses using level variables show that there is a bi-directional lead-lag relationship between the VKOSPI futures and VKOSPI index, but in the analysis using first-difference variables, there is only a unidirectional lead-lag relationship form VKOSPI index to VKOSPI futures. This means that the VKOSPI spot market is more efficient than the futures market. Also, there are no lead-lag relationship from VKOSPI futures or VKOSPI index to KOSPI index. It is inconsistent with the main expected hypothesis in our study and the conclusions of previous studies which argue that the VIX futures lead the VIX index and S&P 500 index. This results are related to a lack of liquidity of VKOSPI futures contracts in the Korean derivatives market. Because generally, the Korean institutional investors prefer option trading, to hedge market risk rather than VKOSPI futures. Change in the price of the option will result in the change in the VKOSPI index and subsequently the mechanism that alters the VKOSPI futures or the KOSPI index.
Book Synopsis A Further Investigation of the Lead-Lag Relationship in Returns and Volatility Between the Spot Market and Stock Index Futures by : Sotirios Karagiannis
Download or read book A Further Investigation of the Lead-Lag Relationship in Returns and Volatility Between the Spot Market and Stock Index Futures written by Sotirios Karagiannis and published by . This book was released on 2014 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of FTSE/ASE-20 futures and the underlying FTSE/ASE-20 cash index of the Athens Stock Exchange. The results suggest that there is a bidirectional causality between spot and futures returns, rejecting the usual result of futures leading spot market. However, spot market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by using a bivariate EGARCH(1,1) model. This model is found to capture all the volatility dynamics. The results indicate that the transmission of volatility is bidirectional. Any piece of information that is released by the cash market has an effect on futures market volatility, and vice versa. Nevertheless, the volatility spillover from spot to futures market is slightly stronger than in the reverse direction.
Book Synopsis Intraday Lead-Lag Relationship Between Stock Index and Stock Index Futures Markets by : Ersan Ersoy
Download or read book Intraday Lead-Lag Relationship Between Stock Index and Stock Index Futures Markets written by Ersan Ersoy and published by . This book was released on 2016 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. However, due to market imperfections, one of these markets may reflect information faster than the other and therefore may lead to the other. This study examines the lead-lag relationship between stock index and stock index futures, in terms of both price and volatility, by using 5 minute data over 2007-2010 period. The findings of this study indicate that a stable long-term relationship between Turkish stock index and stock index futures exists, however stock index futures do not lead stock index and there is a two way interaction between them. Therefore either of the markets is dominant over the other one in the price formation process.
Book Synopsis The Lead-Lag Relation between Spot and Futures Markets Under Different Short-Selling Regimes by : Joseph K. W. Fung
Download or read book The Lead-Lag Relation between Spot and Futures Markets Under Different Short-Selling Regimes written by Joseph K. W. Fung and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the lead-lag relation between index futures and the underlying index under three types of short-selling restrictions on stocks in Hong Kong. Our results indicate that lifting short-selling restrictions can enhance the informational efficiency of the stock market relative to the index futures. We also investigate the impact of two market characteristics, market conditions and the magnitude of mispricing on the lead-lag relations under different short-selling regimes. Our findings suggest that if we remove restrictions, the contemporaneous price relation between the futures and cash markets becomes stronger particularly in the falling market and when the cash market is relatively overpriced.
Book Synopsis Lead-Lag Relationship Between Returns and Implied Moments by : Sol Kim
Download or read book Lead-Lag Relationship Between Returns and Implied Moments written by Sol Kim and published by . This book was released on 2016 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates whether a lead-lag relationship exists between the returns and the moments of the implied risk-neutral density (RND) in Korea Composite Stock Price Index (KOSPI) 200 spot, futures, and options markets. The empirical analysis suggests that although there is a bi-directional lead-lag relationship between the returns and the implied moments, the skewness and kurtosis of the implied RND Granger-cause the spot and futures returns more strongly than the returns do. In contrast, the implied volatility is shown to Granger-cause the returns less strongly than the returns do. In addition, this study shows that the lead-lag relationship strengthens when the spot market is exceptionally bullish or bearish.
Book Synopsis Stock Futures of a Flawed Market Index by : Kotaro Miwa
Download or read book Stock Futures of a Flawed Market Index written by Kotaro Miwa and published by . This book was released on 2018 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: I present evidence that transactions of the stock futures of a flawed market index cause mispricing in individual stocks. In particular, I analyze whether stocks overweighted on the index are mispriced, especially when market movements driven by futures trading are observed. To detect such movements, I use a qualitative indicator based on daily stock market news and a quantitative indicator based on the intraday lead-lag relationship between the spot and futures markets. I find that overweighted stocks are overpriced (underpriced) when upward (downward) movements driven by futures trading are observed. By contrast, such mispricing is not observed for non-constituent stocks.
Book Synopsis Return Volatility Movements in Spot and Futures Markets by : Jeng-Hong Chen
Download or read book Return Volatility Movements in Spot and Futures Markets written by Jeng-Hong Chen and published by . This book was released on 2014 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: After the Debt Ceiling Bill was passed on August 2, 2011, the S&P 500 index returns volatility increased significantly until the end of 2011. This research investigates the return volatility movements in S&P 500 spot index and index futures markets, the lead/lag relationship between two markets, and the effect of volatility on the trading costs using year 2011 intraday data. The analyses of intraday data show the following results during the higher volatility period (8/3/2011-12/30/2011): First, the difference of return variances between index futures and spot index is even greater than that during the lower volatility period. Second, the index futures market leads the spot index market and the interaction between both markets becomes stronger. Third, both index futures and spot index exhibit clearer U-shape intraday pattern of return volatilities. Finally, the trading costs, measured by the bid-ask spreads, are significantly larger.
Book Synopsis Computational Finance and Its Applications II by : M. Costantino
Download or read book Computational Finance and Its Applications II written by M. Costantino and published by WIT Press. This book was released on 2006 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: Featuring papers from the Second International Conference on Computational Finance and its Applications, the text includes papers that encompass a wide range of topics such as risk management, derivatives pricing, credit risk, trading strategies, portfolio management and asset allocation, and market analysis.
Book Synopsis International Review of Economics & Finance by :
Download or read book International Review of Economics & Finance written by and published by . This book was released on 2003 with total page 556 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis FX Funding Risks and Exchange Rate Volatility–Korea’s Case by : Mr.Jack Ree
Download or read book FX Funding Risks and Exchange Rate Volatility–Korea’s Case written by Mr.Jack Ree and published by International Monetary Fund. This book was released on 2012-11-07 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes after the crisis, including decreasing demand for currency hedges and the diversifying investor base for bonds, point to a possible weakening of the interaction mechanism; and we find evidences are strongly supportive of this.
Book Synopsis The Effectiveness of Monetary Policy Transmission Under Capital Inflows by : Ms.Sonali Jain-Chandra
Download or read book The Effectiveness of Monetary Policy Transmission Under Capital Inflows written by Ms.Sonali Jain-Chandra and published by International Monetary Fund. This book was released on 2012-11-02 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The effectiveness of the monetary policy transmission mechanism in open economies could be impaired if interest rates are driven primarily by global factors, especially during periods of large capital inflows. The main objective of this paper is to assess whether this is true for emerging Asia’s economies. Using a dynamic factor model and a structural vector auto-regression model, we show that long-term interest rates in Asia are indeed predominantly driven by global factors. However, monetary policy transmission mechanism remains effective in the region, as it operates predominantly through short-term interest rates. Nevertheless, the monetary transmission mechanism, though effective, is somewhat weaker in Asia during the periods of surges in capital inflows.
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 1998 with total page 588 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Retail Investor Sentiment and Behavior by : Matthias Burghardt
Download or read book Retail Investor Sentiment and Behavior written by Matthias Burghardt and published by Springer Science & Business Media. This book was released on 2011-03-16 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a unique data set consisting of more than 36.5 million submitted retail investor orders over the course of five years, Matthias Burghardt constructs an innovative retail investor sentiment index. He shows that retail investors’ trading decisions are correlated, that retail investors are contrarians, and that a profitable trading strategy can be based on these aggregated sentiment measures.
Book Synopsis Handbook of Volatility Models and Their Applications by : Luc Bauwens
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Book Synopsis Herd Behavior in Financial Markets by : Sushil Bikhchandani
Download or read book Herd Behavior in Financial Markets written by Sushil Bikhchandani and published by . This book was released on 2000 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Book Synopsis Machine Learning and AI in Finance by : German Creamer
Download or read book Machine Learning and AI in Finance written by German Creamer and published by Routledge. This book was released on 2021-04-05 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: The significant amount of information available in any field requires a systematic and analytical approach to select the most critical information and anticipate major events. During the last decade, the world has witnessed a rapid expansion of applications of artificial intelligence (AI) and machine learning (ML) algorithms to an increasingly broad range of financial markets and problems. Machine learning and AI algorithms facilitate this process understanding, modelling and forecasting the behaviour of the most relevant financial variables. The main contribution of this book is the presentation of new theoretical and applied AI perspectives to find solutions to unsolved finance questions. This volume proposes an optimal model for the volatility smile, for modelling high-frequency liquidity demand and supply and for the simulation of market microstructure features. Other new AI developments explored in this book includes building a universal model for a large number of stocks, developing predictive models based on the average price of the crowd, forecasting the stock price using the attention mechanism in a neural network, clustering multivariate time series into different market states, proposing a multivariate distance nonlinear causality test and filtering out false investment strategies with an unsupervised learning algorithm. Machine Learning and AI in Finance explores the most recent advances in the application of innovative machine learning and artificial intelligence models to predict financial time series, to simulate the structure of the financial markets, to explore nonlinear causality models, to test investment strategies and to price financial options. The chapters in this book were originally published as a special issue of the Quantitative Finance journal.
