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On the Role of Futures Trading in Spot Market Fluctuations: Perpetrator of Volatility or Victim of Regret?

โœ Scribed by Ali F. Darrat; Shafiqur Rahman; Maosen Zhong

Book ID
110681111
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
94 KB
Volume
25
Category
Article
ISSN
0270-2592

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The effect of spot and futures trading on stock index market volatility: A nonparametric approach
โœ M. Illueca; J. A. Lafuente ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 289 KB ๐Ÿ‘ 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