Download or read book The impact of stock index futures on stock market volatility in Turkey written by Shahd Ashraf El Gharby and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Impact of Derivatives on the Volatility of Turkish Stock Market written by Aysegul Cimen and published by . This book was released on 2019 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interaction among futures and spot markets has been one of the most important issues of the financial markets since the launch of stock index futures by Kansas City Board of Trade in 1982. The main characteristics of derivatives such as having lower transaction costs, higher leverage, higher liquidity and higher flexibility compared to spot markets make them attractive for investors. Besides, derivatives trading are crucial for financial system participants in order to diversify portfolio and minimise risks. The aim of this paper is to emphasize the importance of derivative securities by providing evidence from an emerging stock market, Turkey. In order to emphasize the need for derivatives in the Turkish market, the impact of introduction of index futures and index options trading on the underlying spot market volatility are empirically analysed. Conditional and unconditional volatility of Borsa Istanbul 30 Index is examined using GARCH model starting from its first trade day of January 2, 1997.
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.
Download or read book Stock index futures trading and volatility in international equity markets written by Huseyin Gulen and published by . This book was released on 1999 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Effects of Stock Index Futures on Cash Market Volatility written by Al MacGartland and published by . This book was released on 1989 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Review of Recent Volatility in the Stock Market and the Stock Index Futures Markets written by United States. Congress. House. Committee on Agriculture. Subcommittee on Conservation, Credit, and Rural Development and published by . This book was released on 1988 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The effect of stock index futures trading on the volatility of the Italian stock exchange written by Pierluigi Bologna and published by . This book was released on 1999 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Download or read book The impact of the introduction of index futures contracts on the price volatility in the underlying stock market written by Philip Hsu and published by . This book was released on 2000 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Impact of the Introduction of Index Futures Contract on the Price Volatility in the Underlying Stock Market written by Philip Hsu and published by . This book was released on 2000 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Studies on the Effect of Stock Index Futures and Options on Stock Market Volatility written by and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Index Futures and Spot Market Volatility written by Ebru Çaġlayan and published by . This book was released on 2006 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
Download or read book Effect of Equity Index Futures Trading on Stock Market Volatility written by Suqin Gu and published by . This book was released on 2013 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Impact of Stock Index Futures Trading on Daily Returns Seasonality written by Michael D. McKenzie and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, we investigate the impact of the introduction of stock index futures trading on the daily returns seasonality of the underlying index for seven national markets. It has been previously argued that the introduction of futures trading should lead to reduced seasonality of mean returns, and generally our results support this conclusion. The impact of index futures introduction on return autocorrelations and volatility is also tested, and the evidence presented suggests that futures trading has no impact on the former, although a change in the seasonal for the latter was detected.
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.
Download or read book Stock Index Futures written by A. Loosigian and published by Addison Wesley Publishing Company. This book was released on 1985-01-21 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
