Program trading, nonprogram trading, and market volatility

Article Abstract:

The substantial difference between program trading and nonprogram trading discards the claim that nonprogram trading and market volatility may sufficiently describe the relationship between program trading and market volatility. The positive relationship that is found to be more evident between program trading and volatility compared to the weak connection of nonprogram trading to volatility suggests that aggregate market volume and volatility relation must be attributed to program trading and volatility relation. The effect of program trading is indicated in both the futures market and cash market volatilities.

Commodity Contracts Dealing, Commodity contracts brokers, dealers, Commodity Brokers

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The bid-ask spread on stock index options: an ordered probit analysis

Article Abstract:

Ordered probit is employed to investigate the effect of price risk, trading activity, and market closure on bid-ask spreads in the UK stock index options market. The bid-ask spread is brought about by underlying volatility but not by volatility in the options market. The association with underlying volatility rather than options volatility is due to the significance of the basic volatility in pricing options.

Stock Options, United Kingdom, Options (Finance), Securities, Executive compensation

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Pricing Dynamics of Index Options and Index Futures in Hong Kong Before and During the Asian Financial Crises

Article Abstract:

This paper studies how the Asian financial crisis affected the index options and index futures markets in Hongkong. Analysis showed that although the crisis brought about market volatility and a higher arbitrage profit level, the profitability declined with longer execution time lags.

Hong Kong, Statistical Data Included, Laws, regulations and rules, Market surveys, Hong Kong. Securities and Futures Commission

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