Program Trading and Stock Index Futures: Blessing or Bane?
โ Scribed by Tyler Cowen
- Book ID
- 111053285
- Publisher
- John Wiley and Sons
- Year
- 1988
- Tongue
- English
- Weight
- 910 KB
- Volume
- 8
- Category
- Article
- ISSN
- 0265-0665
No coin nor oath required. For personal study only.
๐ 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
The focus of this article is to test the trading cost hypothesis of price leadership, which predicts that the market with the lowest overall trading costs will react most quickly to new information. In an attempt to hold market microstructure effects constant and in contrast to previous studies, we