The proof of the pudding: The effects of increased trade transparency in the London Stock Exchange

Article Abstract:

Effects of increased trade transparency in the London Stock Exchange are examined.

Securities Exchanges, Stock-exchange, Stock exchanges, Exchanges

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The effect of futures market volume on spot market volatility

Article Abstract:

The authors use a stochastic volatility model to show that futures market trading does not affect the volatility of the spot market.

United States, Commodity Exchanges, Statistical Data Included, Analysis, Influence, Commodities industry

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The relative volatility of the markets in equities and index futures

Article Abstract:

Spot and futures price volatility models indicate similar market conditions which are unaffected by input and output frequencies. However, UK tests showed that index futures prices may exhibit twice the volatility of spot markets. Reduced extra futures volatility due to increased input frequency is attributed to spot volatility understatement, outside touch trades, the bid-ask bounce effect and futures noise traders.

Securities industry, Stock index futures

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