Futures Trading Activity and Stock Price Volatility PDF Download

Author: Hendrik Bessembinder
Publisher:
ISBN:
Category : Futures
Languages : en
Pages : 36

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Author: Johan Bjursell
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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This paper examines the relationship between daily price volatility and trading activity one year before and after a change in the size of selected futures contracts. The following three contracts are included in this study: the Stock Price Index traded on the Sydney Futures Exchange (SFE), which had a contract split on October 11, 1993; the FTSE-100 index traded on the London International Financial Futures Exchange (LIFFE), which had a contract split on March 23, 1998; and the 90-Day Bank Acceptance Bill (BAB) traded on the SFE, which had a reverse split on May 1, 1995. We obtain several interesting empirical results. We observe that there is a positive relationship between daily price volatility and the number of trades (trading frequency) before and after a change in the size of the examined futures contracts. We find that the increase (decrease) in total trading frequency has the power to explain the increase (decrease) of daily price volatility after a contract split (reverse split). Most of the average trade size variable has an immaterial impact on price volatility. Decomposing the total trading frequencies into four trade size classes, we find that the trading frequencies for small and large trade size categories are highly significant in explaining changes in daily price volatility after the index futures contracts' splits. These results are consistent with the noise trading hypothesis (Black (1986)) and the hypothesis on less informed trading in index futures markets. For the BAB case, we find that the trading frequencies for small, medium and large sizes impact price volatility before and after the reverse contract split.

Author: Gregory Duffee
Publisher:
ISBN:
Category : Program trading (Securities)
Languages : en
Pages : 64

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Author: Hein Nienaber
Publisher:
ISBN:
Category : Futures market
Languages : en
Pages : 194

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Author: Chandra Bhola
Publisher: Ary Publisher
ISBN: 9788798623045
Category :
Languages : en
Pages : 0

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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: Yanisa Chetchatree
Publisher:
ISBN:
Category :
Languages : en
Pages : 50

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Author: Hendrik Bessembinder
Publisher:
ISBN:
Category : Cash flow
Languages : en
Pages : 40

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Author: Hendrik Bessembinder
Publisher:
ISBN:
Category : Futures
Languages : en
Pages : 36

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Author: Gary Robinson
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 48

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Author: James T. Moser
Publisher:
ISBN:
Category : Program trading (Securities)
Languages : en
Pages : 62

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