𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study

✍ Scribed by Faff, Robert W.; McKenzie, Michael D.

Book ID
123880912
Publisher
University of Chicago Press
Year
2002
Tongue
English
Weight
160 KB
Volume
75
Category
Article
ISSN
0021-9398

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

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

A note on the effects of the initiation
A note on the effects of the initiation of major market index futures on the daily returns of the component stocks
✍ Francis E. Laatsch πŸ“‚ Article πŸ“… 1991 πŸ› John Wiley and Sons 🌐 English βš– 310 KB πŸ‘ 1 views

he effects of stock index futures trading on returns of the index component T stocks (and on stocks in general) is of concern to market participants, regulators, and academics. Harris (1989) demonstrates that following the introduction of futures trading, the volatility of the S&P 500 component stoc