✦ LIBER ✦

Trading volatility spreads: a test of index option market efficiency

✍ Scribed by Ser-Huang Poon; Peter; F. Pope

Book ID: 108559622
Publisher: John Wiley and Sons
Year: 2000
Tongue: English
Weight: 730 KB
Volume: 6
Category: Article
ISSN: 1354-7798
DOI: 10.1111/1468-036x.00122

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Futures trading, spot market volatility,

Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets

✍ Bae, Sung C. (author);Kwon, Taek Ho (author);Park, Jong Won (author) 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 182 KB 👁 2 views

## Abstract We examine the effect of the introduction of index futures trading in the Korean markets on spot price volatility and market efficiency of the underlying KOSPI 200 stocks, relative to the carefully matched non‐KOSPI 200 stocks. Employing both an event study approach and a matching‐sampl

Futures trading, spot market volatility,

Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets

✍ Bae, Sung C. (author);Kwon, Taek Ho (author);Park, Jong Won (author) 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 182 KB 👁 1 views

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 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 289 KB 👁 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