Day trading and stock price volatility
✍ Scribed by Petri Kyröläinen
- Book ID
- 107620800
- Publisher
- Springer US
- Year
- 2007
- Tongue
- English
- Weight
- 199 KB
- Volume
- 32
- Category
- Article
- ISSN
- 1055-0925
No coin nor oath required. For personal study only.
📜 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
## Introduction he controversy created by "Black Monday" and the recent stock market crash Many of the proposals to deal with the perceived increased volatility' are actually proposals to increase market frictions by increasing transaction costs, increasing margins, limiting arbitrage, or banning
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.
This paper examines the effect that price limits have on futures prices by testing what happens to price changes and volatility on the trading day following a limit-lock day. The results show evidence that prices continue to rise on average the day after an up-limit day. In addition, limits appear t