Daytime vs. Overnight Trading in Equity Index Futures Markets
نویسندگان
چکیده
منابع مشابه
Stock Index Futures Trading and Volatility in International Equity Markets
We examine stock market volatility before and after the introduction of equity index futures trading in twenty-five countries, using various models that account for asynchronous data, conditional heteroskedasticity, asymmetric volatility responses, and the joint dynamics of each country’s index with the world market portfolio. We find that futures trading is related to an increase in conditiona...
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The first author would like to record his gratitude to the Julian Hodge Foundation for its support, and to Hong Kong Baptist University for its hospitality during the writing of this paper.
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Research on the impact of the introduction of derivatives on the market volatility has reported mixed evidences. In this paper, we study the volatility implications of the introduction of derivatives on the stock market in India using S&P CNX IT index. To account for the heteroscedasticity in the time series, GARCH model is used. We find clustering and persistence of volatility in different deg...
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This paper develops an equilibrium model of a competitive futures market in which investors trade to hedge positions and to speculate on their private information. Equilibrium return and trading patterns are examined. ~1! In markets where the information asymmetry among investors is small, the return volatility of a futures contract decreases with time-to-maturity ~i.e., the Samuelson effect ho...
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ژورنال
عنوان ژورنال: Accounting and Finance Research
سال: 2012
ISSN: 1927-5994,1927-5986
DOI: 10.5430/afr.v1n2