The impact of equity index futures trading on the underlying index volatility: evidence for the ISE-30 stock index futures contracts
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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ژورنال
عنوان ژورنال: Pressacademia
سال: 2015
ISSN: 2146-7943
DOI: 10.17261/pressacademia.2015211517