๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Asymmetric Volatility and Trading Activity in Index Futures Options

โœ 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.


๐Ÿ“œ SIMILAR VOLUMES


Cash trading and index futures price vol
โœ Jinliang Li ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 169 KB ๐Ÿ‘ 1 views

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.

Volatility and trading demands in stock
โœ Ming-Shiun Pan; Y. Angela Liu; Herbert J. Roth ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 127 KB ๐Ÿ‘ 1 views

## 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

Index futures and options and stock mark
โœ Pericli, Andreas; Koutmos, Gregory ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 266 KB ๐Ÿ‘ 2 views

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