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The effect of spot and futures trading on stock index market volatility: A nonparametric approach

✍ Scribed by M. Illueca; J. A. Lafuente

Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
289 KB
Volume
23
Category
Article
ISSN
0270-7314

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✦ Synopsis

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
spot volatility by estimating the corresponding conditional density functions
as proposed in Quah (1997). Our results reveal no significant link
between those variables. Similar findings arise when expected and unexpected
volume is considered. Our results suggest that derivative market is
not a force behind episodes of significant spot jump volatility. Β© 2003
Wiley Periodicals, Inc. Jrl Fut Mark 23:841–858, 2003

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