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The Relationship Between Spot And Futures Index Contracts After The Introduction Of Electronic Trading On The Johannesburg Stock Exchange
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Book Synopsis The Relationship between Spot and Futures Index Contracts after the Introduction of Electronic Trading on the Johannesburg Stock Exchange by : Owen Beelders
Download or read book The Relationship between Spot and Futures Index Contracts after the Introduction of Electronic Trading on the Johannesburg Stock Exchange written by Owen Beelders and published by . This book was released on 2002 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this paper is to analyze the interrelationship between the all share, gold and industrial indexes of the Johannesburg Stock Exchange and the corresponding index futures contracts traded on the South African Futures Exchange after the introduction of electronic trading. For the all share and industrials contracts, we find quicker information transmission between the spot and futures markets after the introduction of electronic trading. In addition, the contemporaneous correlation between the markets increases and the size and asymmetry of the volatility spillovers is reduced. For the gold contract, we find slower information transmission after the introduction of electronic trading, but this result may be biased by the fact that the gold contract was discontinued.
Book Synopsis The Relationship Between Spot and Futures Prices in Stock Index Futures Markets by : David Michael Modest
Download or read book The Relationship Between Spot and Futures Prices in Stock Index Futures Markets written by David Michael Modest and published by . This book was released on 1982 with total page 48 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.
Book Synopsis The Index Futures Markets by : Laurence Copeland
Download or read book The Index Futures Markets written by Laurence Copeland and published by . This book was released on 2002 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Relationship Between Spot and Futures Prices in Stock Index Futures Markets by : Bradford Cornell
Download or read book The Relationship Between Spot and Futures Prices in Stock Index Futures Markets written by Bradford Cornell and published by . This book was released on 1982 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Does the Introduction of Index Futures Stabilize Stock Markets? Further Evidence from Emerging Markets by : Ali M. Kutan
Download or read book Does the Introduction of Index Futures Stabilize Stock Markets? Further Evidence from Emerging Markets written by Ali M. Kutan and published by . This book was released on 2018 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine how the introduction of index futures affects the stability of stock markets in seven emerging countries (Brazil, Russia, India, China, and South Africa [BRICS] and two countries in Europe, i.e. Poland and Turkey) by studying the existence and the impact of positive feedback trading in both pre- and post-futures periods, using augmented Sentana and Wadhwani's (1992) feedback model. Consistent with evidence in mature markets before the introduction of index futures, positive feedback traders are already prevalent in six out of the seven markets studied. After the introduction of index futures, signs of positive feedback trading have emerged in only three markets (Poland, South Africa, and Turkey). In contrast to evidence in developed markets, positive feedback traders migrate from spot to futures markets in only three markets (India, Russia, Poland), which suggests that the introduction of index futures may destabilize some emerging stock markets. Another interesting finding is that positive feedback trading is more intense in the majority of the markets (Brazil, China, Russia, and Turkey) during market declines. Overall, the impact of the introduction of index futures on the stability of emerging stock markets is not only different from that of mature markets but also differs among individual emerging markets. We discuss the policy implications of the findings.
Book Synopsis Stock Index Futures Trading and Spot Market Volatility by : George Karathanassis
Download or read book Stock Index Futures Trading and Spot Market Volatility written by George Karathanassis and published by . This book was released on 2006 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates possible spill-over effects on the Spot Market due to the initiation of Futures contracts. According to many analysts there still exists a puzzle regarding the stabilization or destabilization effects of futures contracts. Although the speculative forces (uninformed investors) tend to destabilize the market, rational hedging strategies and the transition of risk allow for stabilization shift. In order to investigate this issue, many researchers during the last decade, have utilized the GARCH framework enriched to capture many stylized financial features, such as the asymmetric response to news and leptokurtosis. However, in this paper the GARCH framework is extended to allow for skewness in the return's distribution and to examine the timing of possible structural changes, while the conditional mean of the process is adjusted to account for time-varying risk premia and for the day of the week effects decomposition. Furthermore, the distinguishing feature of this paper is the SWARCH econometric model, which enables a dynamic regime shifting through a Markov Chain transition matrix. According to the empirical findings on the FTSE-20/ASE futures contract, there exists a significant stabilization effect on the long run, while in the short run this seems to be non-robust.
Book Synopsis Index Futures Trading and Spot Market Volatility Evidence from an Emerging Market by : Kiran
Download or read book Index Futures Trading and Spot Market Volatility Evidence from an Emerging Market written by Kiran and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies on the impact of futures introduction on the volatility of the underlying index report no increase in the spot volatility after the futures introduction. However, the prior studies do not comment on how exactly the information transmits from the futures market to the spot market. This paper focuses on investigating whether the change in the structure of spot volatility evolution process is due to the futures trading activity. The relation between the Futures trading activity (measured through trading volume and open interest) and spot index volatility is documented, following Bessembinder and Seguin (1992), by partitioning trading activity into expected and shock components by an appropriate ARMA model. The series are then appended in the variance equation through an appropriate ARMA-GARCH model, following Gulen and Mayhew (2000). Further, the study examines the effect of the Sept. 11th terrorist attack has had on the Nifty spot-futures relation.The study concludes that post the Sept. 11th attack, the relation between Futures Trading Activity and Spot volatility has strengthened, implying that the market has become more efficient in assimilating the information into its prices. This is evident in both volume and open interest (expected and activity shock) being significant post Sept. 11 while not being significant pre Sept. 11.
Book Synopsis The Impact of Share Index Futures Trading on the Volatility and Liquidity of the Underlying Assets on the Johannesburg Stock Exchange by : André Swart
Download or read book The Impact of Share Index Futures Trading on the Volatility and Liquidity of the Underlying Assets on the Johannesburg Stock Exchange written by André Swart and published by . This book was released on 1998 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Relationship Between Spot and Futures Prices by : Rajni Kant Rajhans
Download or read book Relationship Between Spot and Futures Prices written by Rajni Kant Rajhans and published by . This book was released on 2015 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: In developed financial markets, there is no dearth of literature on relationship between spot and future market. India, in the year 2000 introduced derivative market to provide risk mitigation mechanism to market participants. The present study concluded that there is no short-run relationship between Nifty 50 Index and Nifty 50 Futures Index while there is a long-run relationship between the two. The combined analysis of outputs of Granger Causality and Johansen co-integration provided a more rational justification and can be interpreted that possibly at a time of high volatile market when price discovery is not more on rational basis but rather on other spill-over, a short-run lead-lag relationship could not be observed between spot stock index and futures index. However, in long-run the volatility dies away and market returns back to fundamental factors and hence, there is evidence of long-run relationship between spot stock index and futures index.
Book Synopsis A Trading Strategy Based on the Lead-Lag Relationship between the Spot Index and Futures Contract for the Ftse 100 by : Chris Brooks
Download or read book A Trading Strategy Based on the Lead-Lag Relationship between the Spot Index and Futures Contract for the Ftse 100 written by Chris Brooks and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the lead-lag relationship between the FTSE 100 index and index futures price employing a number of time series models. Using ten-minutely observations from June 1996-1997, it is found that lagged changes in the futures price can help to predict changes in the spot price. The best forecasting model is of the error correction type, allowing for the theoretical difference between spot and futures prices according to the cost of carry relationship. This predictive ability is in turn utilised to derive a trading strategy which is tested under real-world conditions to search for systematic profitable trading opportunities. It is revealed that although the model forecasts produce significantly higher returns than a passive benchmark, the model was unable to outperform the benchmark after allowing for transaction costs.
Book Synopsis Stock Index Futures & Options by : Susan Abbott Gidel
Download or read book Stock Index Futures & Options written by Susan Abbott Gidel and published by Wiley. This book was released on 1999-11-02 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Stock Index Futures & Options "Everything you wanted to know about global stock indexes in one place." -Tom Basso CEO, Trendstat Capital Management "With twenty years of professional experience behind her, Susan Abbott Gidel is the perfect person to present this intricate overview of today's futures and options markets. Included is everything a beginner needs to know to understand the world of derivatives." -Robert R. Prechter Jr. President, Elliott Wave International
Book Synopsis Stock Index Options and Futures by : John Millers
Download or read book Stock Index Options and Futures written by John Millers and published by McGraw-Hill Companies. This book was released on 1992 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Efficiency and Price Discovery in the Stock and Index Futures Markets by : Mario Gabriel C. Reyes
Download or read book Efficiency and Price Discovery in the Stock and Index Futures Markets written by Mario Gabriel C. Reyes and published by . This book was released on 1987 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Emerging Markets Finance & Trade by :
Download or read book Emerging Markets Finance & Trade written by and published by . This book was released on 2008 with total page 120 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:
