The innovations of e-mini contracts and futures price volatility components: The empirical investigation of S&P 500 stock index futures
β Scribed by Anthony H. Tu; Ming-Chun Wang
- Book ID
- 116575231
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 168 KB
- Volume
- 17
- Category
- Article
- ISSN
- 1042-4431
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
he volatility of the stock market is a matter of great concern to investors. The high T level of market volatility has attracted regulatory attention since the crash of October 19, 1987. The stock market is believed to be more volatile now than it has been in the past. Investor surveys conducted aft
## Abstract During the last weeks before each quarterly expiration of Standard & Poor's (S&P) 500 futures, the bulk of trading volume begins to shift away from the nextβtoβexpire (nearby or lead) contract toward the secondβtoβexpire (next out) contract. At some point, the exchange formally redesign