The development of the GKO futures market in Russia
β Scribed by A Peresetsky; G Turmuhambetova; G Urga
- Book ID
- 117796721
- Publisher
- Elsevier Science
- Year
- 2001
- Tongue
- English
- Weight
- 253 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1566-0141
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
F evaluate the economic benefits of futures markets is to examine their effects on the intertemporal allocation of resources. This issue was studied by DeCanio (1980) and Stein (1981Stein ( , 1986) ) who showed that the economic benefits of futures trading can be measured by the ex-post welfare loss
## Abstract This study examines the priceβdiscovery function and information efficiency of a fast growing volatility futures market: the Chicago Board of Option Exchange VIX futures market. A linear EngleβGranger cointegration test with an error correction mechanism (ECM) shows that during the full