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Stock index futures trading and volatility in international equity markets

โœ Scribed by Huseyin Gulen; Stewart Mayhew

Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
142 KB
Volume
20
Category
Article
ISSN
0270-7314

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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

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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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This paper analyzes the behavior of time-varying volatility when structural changes are allowed in international stock markets. A model developed by Autoregressive conditional heteroskedasticity and changes in regime. Journal of Econometrics 64: 307 -333], the switching autoregresive conditional he

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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,