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Index Futures Trading and Asymmetric Volatility: Evidence from Asian Stock Markets
Minjoong Yoon
The Intraday Dynamic Relationship Between Stock Index Spot and Futures Market in China
2020 •
Mamata Parhi
This paper investigates the intraday dynamic relationship between Chinese CSI 300 spot and futures markets with respects to the lead-lag dynamic relations of prices and the volatility spillovers effects based on 5-minute price data. Multivariate cointegration and causality tests are employed to characterize the lead-lag relationship. Furthermore, volatility spillover is modelled in our exercise by the GARCH-BEKK parameterization technique. No unique lead-lag relation (unidirectional lead-lag relation and bidirectional relation) is found in various periods. The lead-relation is from futures price to spot price during period one, whereas futures price lead to spot more profoundly than the reverse in period two. We also find that volatility spillovers are bidirectional in all the three periods, although they are asymmetric in the first and second periods. Moreover, we find that volatility spills over from cash market to futures market with greater magnitude than the reverse in the firs...
Research Journal of Finance and Accounting
The Impact of Futures Trading Over Spot Market Intraday Volatility: Evidence From an Emerging Market, Borsa Istanbul
Mustafa Okur
Pacific-Basin Finance Journal
Role of index futures on China's stock markets: Evidence from price discovery and volatility spillover
2017 •
Hong Miao
The Financial Review
Index Futures Trading and Stock Return Volatility: Evidence from the Introduction of Mid Cap 400 Index Futures
1997 •
James M. Miller
Volatility Impact of Stock Index Futures Trading - A Revised Analysis
Helmut Wagner
The recent financial crisis revealed some serious shortcomings in over-the-counter (OTC)-derivatives markets and renewed concerns about a possible destabilizing impact of derivatives trading in general and OTC derivatives trading in particular on financial market stability. In order to strengthen transparency in OTC derivatives markets and deploy presumed advantages of classic derivatives trading the implication of a central counterparty and exchange-based trading is highly recommended for these derivatives. However, this desirable stabilizing and volatility-reducing impact of classic, regulated derivatives trading has been questioned on theoretical grounds, and empirical findings are still inconclusive. The present contribution aims to show that by appropriately rectifying some methodological shortcomings of previous studies a stabilizing impact of derivatives trading can be demonstrated very well. This paper analyzes the volatility impact of DAX futures trading using the GARCH fra...
THE IMPACT OF EQUITY INDEX FUTURES TRADING ON THE UNDERLYING INDEX VOLATILITY: EVIDENCE FOR THE ISE-30 STOCK INDEX FUTURES CONTRACT
Hakan Er, kokou Adalessossı, Wissam Al-Masri
The issue that futures-trading activity may result in excessive equity volatility has attracted much attention, both academic and regulatory. Many academicians have claimed that the introduction of the futures contracts will lead to an increase in the spot market volatility and destabilize the equity prices. This has also been an important concern for regulators. Many others have argued the contrary and claimed that futures trading will have stabilizing effects on spot prices. There is no theoretical answer that will resolve this debate; proper empirical investigation will give insights on this effect. Many previous empirical studies deal with the developed markets, especially with the US. The number of studies employing emerging market data is quite limited and there are only a handful of studies dealing with the Turkish market. In this study we examine the effect of futures trading on index volatility using the data from an important emerging market: Turkey. Using the Istanbul Stock Exchange 30 (ISE 30) Index data between February 2005 and April 2015, we test the hypothesis that the variance of daily returns in the futures expiration period (9 days before the expiration of the futures contract) is greater than the variance of index returns in the pre-expiration period (10-50 days prior to futures expiration date). The results of the study show that expiration period variance is not greater than pre-expiration variance.
Journal of Business Finance & Accounting
On the Dynamics of Stock Index Futures and Individual Stock Returns
1995 •
Jukka Perttunen
Pressacademia
The impact of equity index futures trading on the underlying index volatility: evidence for the ISE-30 stock index futures contracts
2015 •
kokou ADALESSOSSI, Hakan Er
ABSTRACT The issue that futures-trading activity may result in excessive equity volatility has attracted much attention, both academic and regulatory. Many academicians have claimed that the introduction of the futures contracts will lead to an increase in the spot market volatility and destabilize the equity prices. This has also been an important concern for regulators. Many others have argued the contrary and claimed that futures trading will have stabilizing effects on spot prices. There is no theoretical answer that will resolve this debate; proper empirical investigation will give insights on this effect. Many previous empirical studies deal with the developed markets, especially with the US. The number of studies employing emerging market data is quite limited and there are only a handful of studies dealing with the Turkish market. In this study we examine the effect of futures trading on index volatility using the data from an important emerging market: Turkey. Using the Istanbul Stock Exchange 30 (ISE 30) Index data between February 2005 and April 2015, we test the hypothesis that the variance of daily returns in the futures expiration period (9 days before the expiration of the futures contract) is greater than the variance of index returns in the pre-expiration period (10-50 days prior to futures expiration date). The results of the study show that expiration period variance is not greater than pre-expiration variance
Asian Journal of Finance & Accounting
Futures Trading and Its Impact on Volatility of Indian Stock Market
2013 •
Ruhi Kakkar, Namita Rajput
