## 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
Volatility, volume, and the notion of balance in the S&P 500 cash and futures markets
β Scribed by Sharon Brown-Hruska; Gregory Kuserk
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 689 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
β¦ Synopsis
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.
π SIMILAR VOLUMES
In this article, a multivariate component model for conditional asset return covariance is developed as an extension to the univariate volatility component model of Engle & Lee (1999). The conditional covariance now is decomposed into a long-run (trend) component and a short-run (transitory) compone
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