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“Expiration hour effect of futures and options markets on stock market” — A case study on NSE (National Stock Exchange of India)

✍ Scribed by Hiren M. Maniar; Rajesh Bhatt; Dharmesh M. Maniyar

Book ID
113664311
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
836 KB
Volume
18
Category
Article
ISSN
1059-0560

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📜 SIMILAR VOLUMES

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The effect of spot and futures trading on stock index market volatility: A nonparametric approach
✍ M. Illueca; J. A. Lafuente 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 289 KB 👁 1 views

## Abstract This article provides empirical evidence on the intraday relation between spot volatility and trading volume in the Spanish stock index futures market. GARCH methodology is used to estimate spot volatility. We analyze the potential relation between spot and futures trading volume and sp