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The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach

✍ Scribed by Khelifa Mazouz

Book ID
116641526
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
133 KB
Volume
11
Category
Article
ISSN
0927-5398

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The effect of spot and futures trading o
The effect of spot and futures trading on stock index market volatility: A nonparametric approach
✍ M. Illueca; J. A. Lafuente πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 289 KB πŸ‘ 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