Download or read book The International Price and Volatility Relationships Between Emerging Stock Index and Stock Index Futures Markets written by Fahmi Abdul Rahim and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling International Price Relationships and Interdependencies between EU Stock Index and Stock Index Futures Markets written by Gioia Pescetto and published by . This book was released on 2002 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past fifteen years, financial markets have become increasingly global. The gradual dismantling of regulatory barriers and the introduction of more advanced technology, particularly in data processing and telecommunications, have called for new market structures and practices. Asset and liability management has increasingly become a globally integrated function and the issuance of international securities is often used as a substitute for more traditional funding channels. These developments are to be welcomed in so far as the increased level of competition is expected to lead to a more efficient allocation of capital, both nationally and internationally, lower-cost financial services and new means of hedging risk. However, they also present a new regulatory challenge in securing financial stability. It was the 1987 world-wide stock market crash in particular which highlighted the inadequacies of a regulatory framework still largely based on old institutional divisions and national jurisdictions. In the globalized security markets, the main challenge for both investors and policy makers is to take advantage of and promote efficiency enhancing aspects of market interaction, while containing and controlling the undesirable destabilising effects.

Download or read book Market Volatility and Investor Confidence written by New York Stock Exchange. Market Volatility and Investor Confidence Panel and published by . This book was released on 1990 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies written by Ms.Laura E. Kodres and published by International Monetary Fund. This book was released on 1998-02-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent interest in futures contracts on emerging market currencies has raised concerns among some central bank authorities about their ability to maintain stable currencies. This paper presents empirical results examining the influence of the Mexican peso, the Brazilian real, and the Hungarian forint futures contracts on the respective spot markets. While measures of linear dependence and feedback indicate strong connections between the respective markets, futures volatility does not significantly explain spot market volatility, nor does it increase after futures introductions. To account for the characteristics of the spot and futures returns a SWARCH model has been employed to estimate volatility.

Download or read book Stock Return Volatility and Market Crisis in Emerging Economies written by Nidal Rashid Sabri and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explored the new features of emerging stock markets, in order to point out the most associated indicators of increasing stock return volatility, which may lead to instability of emerging markets. The study covers a sample of five geographical areas of emerging economies, including Mexico, Korea, South Africa, Turkey, and Malaysia. It used the backward multiple-regression technique to examine the relationship between monthly changes of stock price indices as dependent variable and the associated predicting local as well as international variables, which represent possible causes of increasing price volatility and initiating crises in emerging stock markets. The study covered monthly data for a period of forty-eight months from January 1997 to December 2000. The study revealed that stock trading volume and currency exchange rate respectively represent the highest positive correlation to the emerging stock price changes; thus represent the most predicting variables of increasing price volatility. International stock price index, deposit interest rate, and bond trading volume were moderate predicting variables for emerging stock price volatility. While changes in inflation rate showed the least positive correlation to stock price volatility, thus represents the least predicting variable.

Download or read book Volatility and Openness of Emerging Markets written by Vince Hooper and published by . This book was released on 1996 with total page 24 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 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 The Effectiveness of Monetary Policy Transmission Under Capital Inflows written by Ms.Sonali Jain-Chandra and published by International Monetary Fund. This book was released on 2012-11-02 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The effectiveness of the monetary policy transmission mechanism in open economies could be impaired if interest rates are driven primarily by global factors, especially during periods of large capital inflows. The main objective of this paper is to assess whether this is true for emerging Asia’s economies. Using a dynamic factor model and a structural vector auto-regression model, we show that long-term interest rates in Asia are indeed predominantly driven by global factors. However, monetary policy transmission mechanism remains effective in the region, as it operates predominantly through short-term interest rates. Nevertheless, the monetary transmission mechanism, though effective, is somewhat weaker in Asia during the periods of surges in capital inflows.

Download or read book Intrada return and volatility relationships between the IBEX 35 stock index and stocks index futures markets written by Juan A. Lafuente and published by . This book was released on 2000 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

Download or read book Stock Index Futures written by CHARLES M.S. SUTCLIFFE and published by Routledge. This book was released on 2020-12-18 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.

Download or read book Intraday Return and Volatility Relationships Between the IBEX 35 Stock Index and Stock Index Futures Markets written by Juan A. Lafuente and published by . This book was released on 2000 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Does Index Futures Trading Reduce Volatility in the Chinese Stock Market A Panel Data Evaluation Approach written by Haiqiang Chen 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 introducing index futures trading on the spot price volatility in the Chinese stock market. We employ a recently developed panel data policy evaluation approach (Hsiao et al. 2011) to construct counterfactuals of the spot market volatility, based mainly on cross-sectional correlations between the Chinese and international stock markets. This new method does not need to specify a particular regression or a time series model for the volatility process around the introduction date of index futures trading, and thus avoids the potential omitted variable bias caused by uncontrolled market factors in the existing literature. Our results provide empirical evidence that the introduction of index futures trading significantly reduces the volatility of the Chinese stock market, which is robust to different model selection criteria and various prediction approaches.

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:

Download or read book Correlations in Price Changes and Volatility Across International Stock Markets written by Yasushi Hamao and published by . This book was released on 2006 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The short-run interdependence of prices and price volatility across three major international stock markets is studied. Daily opening and closing prices of major stock indexes for the Tokyo, London, and New York stock markets are examined. The analysis utilizes the autoregressive conditionally heteroskedastic (ARCH family of statistical models to explore these pricing relationships. Evidence of price volatility spillovers from New York to Tokyo, London to Tokyo, and New, York to London is observed but no price volatility spillover effects in other directions are found for the pre-October 1987 period.

Download or read book Investigating the Effect of the International Stock Indexes on the U S Stock Index Futures written by Zeliha Ilhan Ertuna and published by . This book was released on 2001 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: