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Liquidity supply and volatility: futures market evidence

โœ Scribed by Peter R. Locke; Asani Sarkar

Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
99 KB
Volume
21
Category
Article
ISSN
0270-7314

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๐Ÿ“œ SIMILAR VOLUMES

Index futures and options and stock mark
Index futures and options and stock market volatility
โœ Pericli, Andreas; Koutmos, Gregory ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 266 KB ๐Ÿ‘ 1 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

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โœ Chang, Eric; Chou, Ray Y.; Nelling, Edward F. ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 228 KB ๐Ÿ‘ 1 views

This study examines the relation between stock market volatility and the demand for hedging in S&P 500 stock index futures contracts. Open interest is used as a proxy for hedging demand. The analysis employs unique data that identify separately the open interest of large hedgers, large speculators,

Stock index futures markets: stochastic
Stock index futures markets: stochastic volatility models and smiles
โœ Robert G. Tompkins ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 220 KB ๐Ÿ‘ 1 views

This study examined whether the inclusion of an appropriate stochastic volatility that captures key distributional and volatility facets of stock index futures is sufficient to explain implied volatility smiles for options on these markets. I considered two variants of stochastic volatility models r