The Split of the S&P 500 Futures Contract: Effects on Liquidity and Market Dynamics
β Scribed by Ahmet K. Karagozoglu; Terrence F. Martell; George H. K. Wang
- Book ID
- 111606614
- Publisher
- Springer US
- Year
- 2003
- Tongue
- English
- Weight
- 381 KB
- Volume
- 21
- Category
- Article
- ISSN
- 0924-865X
No coin nor oath required. For personal study only.
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## 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
for their comments and contributions to this research. The views expressed here are those of the authors and do not necessarily reflect those of the Commodity Futures Trading Commission or its staff. 'Slrategic Assessment (1990), p. 25.
Given that both S&P 500 index and VIX options essentially contain information about the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility, and dens