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The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to news

Article Abstract:

A modified version of the ARCH type model was utilized to analyze the effects of the futures trading on the volatility of stock markets. It also analyzes additional factors of volatility, asymmetries, and market dynamics. Results show that levels of stock market volatility during a 3-year period were not significantly affected by the emergence of futures trading. The results may indicate that asymmetries from the spot market have moved to the futures market.

Author: Priestley, Richard, Holmes, Phil, Antoniou, Antonios
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1998
Securities & Commodities Exchanges, Analysis, Prices and rates, Stock-exchange, Stock exchanges, Stock Market Crash, 1987

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Index arbitrage as cross-sectional market making

Article Abstract:

Program trading, or index arbitrage, is investigated and modeled as it comprises more than 2% of daily stock transaction volume. Several observers in the US and Japan allege market volatility is one result of this form of trading.

Author: Holden, Craig W.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1995
Models, Market makers (Securities trading), Arbitrage, Program trading (Securities)

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Market Volatility and the Demand for Hedging in Stock Index Futures

Article Abstract:

This paper studies the relation between hedging in stock index futures and the volatility in the stock market. It finds that the demand for hedging increases with the rise in stock market volatility.

Author: Chang, Eric, Chou, Ray Y., Nelling, Edward F.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2000
Short selling

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Subjects list: Research, Stock index futures, Statistical Data Included, United States, Exchanges, Securities industry
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