✦ LIBER ✦

Market volatility and the demand for hedging in stock index futures

✍ Scribed by Chang, Eric; Chou, Ray Y.; Nelling, Edward F.

Publisher: John Wiley and Sons
Year: 2000
Tongue: English
Weight: 228 KB
Volume: 20
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(200002)20:2<105::aid-fut1>3.0.co;2-q

No coin nor oath required. For personal study only.

✦ Synopsis

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, and smaller traders. Volatility estimates are decomposed into expected and unexpected components, to assess whether traders' reactions to volatility depend upon its predictability.

📜 SIMILAR VOLUMES

Index futures and options and stock mark

Index futures and options and stock market volatility

✍ Pericli, Andreas; Koutmos, Gregory 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 266 KB 👁 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

Stock index futures trading and volatili

Stock index futures trading and volatility in international equity markets

✍ Huseyin Gulen; Stewart Mayhew 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 142 KB 👁 2 views

Stock index futures markets: stochastic

Stock index futures markets: stochastic volatility models and smiles

✍ Robert G. Tompkins 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 220 KB 👁 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

Intra-day volatility components in FTSE-

Intra-day volatility components in FTSE-100 stock index futures

✍ Speight, Alan E.H.; McMillan, David G.; ap Gwilym, Owain 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 211 KB 👁 1 views

Recent research has suggested that intra-day volatility may contain both short-run and long-run components due to the existence of heterogeneous information flows or heterogeneous market agents (Andersen & Bollerslev, 1997a, 1997b;Mu ¨ller et al., 1997). We report direct evidence for the existence o

Intertemporal volatility and price inter

Intertemporal volatility and price interactions between Australian and Japanese spot and futures stock index markets

✍ Sim, Ah-Boon; Zurbreugg, Ralf 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 262 KB 👁 1 views

Previous studies have examined causality within and between different spot and futures markets with a motivation to discover market comovements, price leadership effects, and, more recently, volatility spillovers across markets. However, the empirical framework within which this is accomplished tend

Price discovery and volatility spillover

Price discovery and volatility spillovers in the DJIA index and futures markets

✍ Tse, Yiuman 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 262 KB 👁 1 views

The Dow Jones Industrial Average (DJIA) is the most widely quoted stock index worldwide. This article examines the minute-by-minute price discovery process and volatility spillovers between the DJIA index and the index futures recently launched by the CBOT. The Hasbrouck (1995) cointegrating model s