The effect of futures trading on the stability of Standard and Poor 500 returns

Article Abstract:

An inquiry into the effects of futures trading on the Standard and Poor's (S&P) 500 on the stability of the underlying index revealed that the volatility of daily returns in the post-futures period was higher than in the pre-futures period, yet the volatility of monthly returns remained unchanged. Additional investigations revealed that the distribution of daily returns frequently changed. Therefore, those who felt that the futures market encouraged volatility in returns found that volatility in daily returns was caused by the inadequate extent of liquidity in the stock market.

Evaluation, Futures market, Futures markets, Standard and Poor's 500-Stock Price Index

---

Efficient option-implied volatility estimators

Article Abstract:

Option-implied volatilities are derived through an econometric analysis of efficient methods. The linear relationship between at-the-money option prices and return standard deviations is used to estimate variance lower bounds for simultaneous equations implied standard deviation (ISD) estimators and weighted average ISD estimators. Simultaneous equations ISD estimators and weighted average ISD estimators are shown to be equally efficient when used with appropriate weights.

Research, Economic aspects, Financial markets, Standard deviations, Standard deviation

---

The relationship between index option moneyness and relative liquidity

Article Abstract:

A study of the relationship between moneyness and liquidity proxies for options revealed that the relationship is not a simple quadratic. Three regression models were used, and tests revealed a more complex relationship, depending on the liquidity proxy.

Statistical Data Included, Liquidity (Finance)

Similar abstracts:

• Abstracts: Effects of supplier trust on performance of cooperative supplier relationships. Issues in the choice of supplier alliance partners
• Abstracts: Beware of falling dominoes. Allies and enemies
• Abstracts: The resource dependence role of corporate directors: strategic adaptation of board composition in response to environmental change
• Abstracts: 'A Land of Milk and Honey'? Reengineering the 'Past' and 'Present' in a Call Centre. Factory innovations and management machinations: the productive and repressive relations of power
• Abstracts: Believing is seeing: joint ventures and organization learning. Learning through joint ventures: a framework of knowledge acquisition

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.