✦ LIBER ✦

Stock Index Futures and Cash Market Volatility

✍ Scribed by Edwin D. Maberly, David S. Allen and Roy F. Gilbert

Book ID: 124929560
Publisher: CFA Institute
Year: 1989
Tongue: English
Weight: 564 KB
Volume: 45
Category: Article
ISSN: 0015-198X
DOI: 10.2307/4479281

No coin nor oath required. For personal study only.

📜 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 👁 2 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

Futures option expirations and volatilit

Futures option expirations and volatility in the stock index futures market

✍ G. D. Hancock 📂 Article 📅 1991 🏛 John Wiley and Sons 🌐 English ⚖ 748 KB

Stock market volatility and the forecast

Stock market volatility and the forecasting performance of stock index futures

✍ Janchung Wang 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 120 KB 👁 1 views

## Abstract This study attempts to apply the general equilibrium model of stock index futures with both stochastic market volatility and stochastic interest rates to the TAIFEX and the SGX Taiwan stock index futures data, and compares the predictive power of the cost of carry and the general equili

Cash trading and index futures price vol

Cash trading and index futures price volatility

✍ Jinliang Li 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 169 KB 👁 1 views

The author wishes to thank Robert I. Webb (the editor) and an anonymous referee for very helpful comments, as well as Charles Bartlett from SIFMA for providing part of the data. Financial support from Citi Foundation is gratefully acknowledged.

Stock market margin requirements and vol

Stock market margin requirements and volatility: Implications for regulation of stock index futures

✍ Michael A. Salinger 📂 Article 📅 1989 🏛 Springer 🌐 English ⚖ 1006 KB

This article reexamines the evidence on the relationship between stock market margin buying and volatility, and discusses the implications for the regulation of futures markets margin requirements. Post-war data provide no evidence of a link between the initial margin requirements set by the Federal

Market volatility and the demand for hed

Market volatility and the demand for hedging in stock index futures

✍ Chang, Eric; Chou, Ray Y.; Nelling, Edward F. 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 228 KB 👁 2 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,