An Analysis of Relationship between Stock Futures and Underlying Stock Volatility
نویسندگان
چکیده
منابع مشابه
Volatility of India’s Stock Index Futures Market: an Empirical Analysis
In recent years, the increasing importance of the futures market in the Indian financial markets has received considerable attention from researchers, academicians and financial analysts. This paper is an attempt to examine the time varying properties of volatility of India’s stock index futures market. The application of GARCH class models provides the evidence of the persistence of time varyi...
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In the absence of market frictions, the cost of carry model of stock index futures pricing predicts that returns on the underlying stock index and the associated stock index futures contract will be perfectly contemporaneously correlated. Evidence suggests, however, that this prediction is violated with clear evidence that the stock index futures market leads the stock market. We argue that tra...
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Formative studies have thoroughly examined causality within and between different spot and futures markets with a motivation to discover market co-movements, price leadership effects, and more recently, volatility spillovers across markets. However, the empirical framework within which this has been accomplished has neither analysed foreign spillover effects upon a spot / futures relationship n...
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This paper presents an overview of how single stock futures (SSF) have developed since their introduction in the United States. We present a number of reasons why individual investor interest in SSF may not have reached its potential. Individual investors should note SSF volumes are very low and implied interest rates indicate that SSF settlement prices often have little relation to their respe...
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ژورنال
عنوان ژورنال: Archives of Business Research
سال: 2020
ISSN: 2054-7404
DOI: 10.14738/abr.82.7824