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:

Download or read book Volatility and Trading Activity Following Changes in the Size of Futures Contracts written by Johan Bjursell and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book A Primer on Program Trading and Stock Price Volatility written by Gregory Duffee and published by . This book was released on 1990 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Futures trading Activity and Share Price Volatility written by Hein Nienaber and published by . This book was released on 1994 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.

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.

Download or read book Futures Trading Activity and Index Price Volatility written by Yanisa Chetchatree and published by . This book was released on 2011 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Empirical Examination of Information Differences of Opinion and Trading Activity written by Hendrik Bessembinder and published by . This book was released on 1994 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Price Volatility Trading Volume and Market Depth 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:

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:

Download or read book Trading Activity Program Trading and the Volatility of Stock Returns written by James T. Moser and published by . This book was released on 1992 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Effect of Futures Trading on Spot Market Volatility written by Brajesh Kumar and published by . This book was released on 2011 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the relationship between futures trading activity and spot market volatility for agricultural, metal, precious metals and energy commodities in Indian commodity derivatives market. This article contributes to the debate whether the futures trading in Indian commodity futures market stabilizes or destabilizes spot market. We explore this issue by modeling contemporaneous as well as dynamic relationship between spot volatility and futures trading activity including trading volume (speculative/day trading) and open interest (hedging). Following Bessembinder and Senguin (1992), we examine contemporaneous relationship through augmented GARCH model in which spot volatility is modeled as GARCH (1,1) process and trading activity is used as explanatory variable. We also decompose futures trading volume and open interest series into expected and unexpected component. The lead-lag relationship between spot price volatility and futures trading volume and open interest is investigated through VAR model. Granger causality tests, forecast error variance decompositions and impulse response function are used to understand the dynamic relationship between these variables. We found that both expected and unexpected futures trading volume affects contemporaneous spot volatility positively. However, in case of agricultural commodities only unexpected volume affects the contemporaneous spot volatility. Granger causality tests, forecast error variance decompositions and impulse response function confirm that the lagged unexpected volatility causes spot price volatility for all commodities. The effect of speculative/day trading activity measured by trading volume on spot market volatility is positive. However, hedging activity measured by open interest does not show significant effect on spot market volatility. We do not find any effect of spot volatility on futures trading activity for most of the commodities.

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.

Download or read book Futures Trading Activity Volatility and Daily Arrival of Information Across U S and Hong Kong Markets written by and published by . This book was released on 2006 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamic Trading Indicators written by Mark Helweg and published by John Wiley & Sons. This book was released on 2002-10-15 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using the insights that stem from value charts and price action profiles, Dynamic Trading Indicators shows traders how to develop systems and whole trading programs that implement these exciting new tools. Through an in-depth exploration of how to effectively use these new technical indicators in a complete trading system, Dynamic Trading Indicators provides a framework that allows readers to obtain a view of what a stock will most likely do next. This innovation in chart design opens up new vistas for traders and unlocks the door to unlimited profits. New technology and the advent of around the clock trading have opened the floodgates to both foreign and domestic markets. Traders need the wisdom of industry veterans and the vision of innovators in today's volatile financial marketplace. The Wiley Trading series features books by traders who have survived the market's ever changing temperament and have prospered-some by reinventing systems, others by getting back to basics. Whether a novice trader, professional or somewhere in-between, these books will provide the advice and strategies needed to prosper today and well into the future. Mark W. Helweg has worked and traded on the floor of the Chicago Board of Trade and, earlier in his career, partnered with an international CTA with over $40 million under management to research new trading system technology. David C. Stendahl is cofounder of RINA Systems, a software provider for systematic traders. Stendahl is the author of Profit Strategies: Unlocking Trading Performance with Money Management.

Download or read book Futures Options Trading and Investing Book for Beginners and Beyond written by Neil Hoechlin and published by JNR via PublishDrive. This book was released on 2023-01-25 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: WHY SOME PEOPLE ALMOST ALWAYS MAKE MONEY IN FUTURES AND OPTIONS Uncertainty and risk go hand in hand with money-making opportunities. Services, goods, and basic materials will probably undergo major price swings at one time or another during the next 20 years. The markets are volatile, and they will only keep increasing. The chances for sustainable trends that last for decades, and the way the stock market rallied in the ‘80s and ‘90s are now less likely than they were a few years ago. Trading options and futures is not gambling. It is speculating. It is also about gathering information, and making judgment calls on circumstances that are unfolding. Futures and options trading is a process of self-protection, and continuing education. What you will learn in this book The futures markets are resurging. They are also likely to be hot for many years, given the political landscape. The emergence of India and China as economic powers and consumers, and the changing world demographics, and the changing politics in the Middle East are likely to fuel the increasing prominence of these markets. This ebook will introduce you to these markets, and equip you with the necessary tools for: strong”Trading, analyzing, or simply gaining a better understanding of how money works, and impacts your daily life. strong”Getting started in improving your knowledge on how markets work. strong”Learning that time is on your side in bond and stock markets, but your enemy in the futures and options markets. strong”Remembering that measuring your return of money is more important than the return on your money.Investors in the past could afford to buy and hold stocks or mutual funds for a long time. Today, the world calls for a trader. The futures and options markets, despite the high risk involved, offer some of the best profit-making opportunities during volatile times. You need to get ready to work as a trader, a geopolitical analyst, an expert in the oil markets, and a money manager. You will learn to keep up with news on economy, weekly oil supply trends, disruptions in oil supply, weather patterns, and the stock market, both in the micro and macro universe. As a futures and options trader, you need to do the same with your contract. You must also learn to pay attention to time factors, especially the expiration dates and how much time you have left to decide whether to exercise your option. Always remember that successful traders: strong”Design a solid plan, follow it, and make adjustments to fit changing conditionsstrong”See trading as a businessstrong”Are disciplined in both their professional and personal livesstrong”Understand the game they are playing, including the risksstrong”Accept that they will make mistakesstrong”Learn from their mistakesstrong”Never trade without having an exit strategystrong”Never risk money that they cannot afford to losestrong”Never allow a bad trade to result in a margin callYou may see yourself as a dummy in the world of futures and options markets. After reading this ebook, however, you will learn how trading options and futures is done, and how to stay in the game for as long as you want. You will realize that the more knowledge you have, the better you can position yourself in the game, and play with confidence. Download this book now!

Download or read book The Effects of Futures Trading on Stock Market Volatility written by Allan Hodgson and published by . This book was released on 1989 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: