Stock index futures trading and volatility in international equity markets

Article Abstract:

Stock market volatility is examined before and after equity-index futures trading introduction.

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Transactions data tests of efficiency: An investigation int the Singapore futures markets

Article Abstract:

The profitability of technical trading rules in the Singapore futures market is examined.

Singapore

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Finnish turn-of-the-month effects: returns, volume, and implied volatility

Article Abstract:

The existence of a turn-of-the-month (TOM) effect in Finland's stock and stock index derivatives market was investigated. Small markets such as Finland's are generally believed to be free from the TOM effect, but based on the analysis, a substantial TOM effect was found to take effect in the Finnish market between days -5 and +5. Results also revealed that the effect can be gleaned from put-call parity implied index returns and implicit volatilities and that the effect becomes more pronounced during the final trading week of every month.

Finland, Securities, Stock index futures

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