The author wishes to thank Robert I. Webb (the editor) and an anonymous referee for very helpful comments, as well as Charles Bartlett from SIFMA for providing part of the data. Financial support from Citi Foundation is gratefully acknowledged.
Asymmetric Volatility and Trading Activity in Index Futures Options
โ Scribed by Kam C. Chan; Louis T. W. Cheng; Peter P. Lung
- Book ID
- 109178188
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 138 KB
- Volume
- 40
- Category
- Article
- ISSN
- 0732-8516
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract In this study we examine how volatility and the futures risk premium affect trading demands for hedging and speculation in the S&P 500 Stock Index futures contracts. To ascertain if different volatility measures matter in affecting the result, we employ three volatility estimates. Our e
This article has benefited from the comments and suggestions of two anonymous reviewers. ## 1 Of course, speculation based on fundamentals is likely to be stabilizing rather than destabilizing. Destabilizing speculation may be the result of noise trading (i.e., buying and selling not on the basis