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Author: Suqin Gu Publisher: ISBN: Category : Languages : en Pages : 28
Book Description
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.
Author: Suqin Gu Publisher: ISBN: Category : Languages : en Pages : 28
Book Description
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.
Author: Gary Robinson Publisher: ISBN: Category : Languages : en Pages :
Book Description
The stock market crash of October 1987 and the growing importance of index arbitrage and portfolio insurance helped to focus the attention of academics, practitioners and regulators on the possibly destabilising role of equity index futures on the underlying cash market. Although theoretical evidence on this question is somewhat ambiguous, empirical evidence, relating particularly to US markets, has been less equivocal: typically, no significant effect of futures trading has been found. This paper presents an analysis of daily stock price volatility on the London Stock Exchange for the period 1980-93. The measure of volatility produced is appropriate, given the distribution of returns and the time-varying nature of stock price volatility, and changes in monetary policy regime. The impact of futures on stock price volatility is measured within an augmented ARCH framework and the principal result is striking: rather than increasing volatility, index futures contracts are found to have reduced volatility significantly by around 17%.
Author: Chandra Bhola Publisher: Ary Publisher ISBN: 9788798623045 Category : Languages : en Pages : 0
Book Description
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: New York Stock Exchange. Market Volatility and Investor Confidence Panel Publisher: ISBN: Category : Program trading (Securities) Languages : en Pages : 396
Author: Charles M.S. Sutcliffe Publisher: Routledge ISBN: 1351148559 Category : Business & Economics Languages : en Pages : 534
Book Description
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: Stephen Satchell Publisher: Springer ISBN: 1137554177 Category : Science Languages : en Pages : 416
Book Description
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: Pierluigi Bologna Publisher: ISBN: Category : Languages : en Pages :
Book Description
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.
Author: Suqin Gu
Author: Suqin Gu
Author: Gary Robinson
Author: Franklin R. Edwards
Author: Chandra Bhola
Author: Huseyin Gulen
Author: New York Stock Exchange. Market Volatility and Investor Confidence Panel
Author: Charles M.S. Sutcliffe
Author: Stephen Satchell
Author: Pierluigi Bologna
Author: B. Thomas Byrne