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

2004 ◽  
Vol 24 (12) ◽  
pp. 1195-1228 ◽  
Author(s):  
Sung C. Bae ◽  
Taek Ho Kwon ◽  
Jong Won Park
Keyword(s):  
Market Efficiency ◽  
Futures Markets ◽  
Spot Market ◽  
Market Volatility ◽  
Futures Trading ◽  
Index Futures

scholarly journals Changes in the volatility level and structure of shares post single stock futures trading

2009 ◽  
Vol 7 (2) ◽  
pp. 279-295 ◽  
Author(s):  
Johan de Beer
Keyword(s):  
South African ◽  
Spot Market ◽  
Market Volatility ◽  
Futures Studies ◽  
Futures Trading ◽  
Index Futures ◽  
Structure Pattern ◽  
Single Stock Futures

The introduction of single stock futures to a market presents the opportunity to assess an individual company’s response to futures trading directly, in contrast to the market-wide impact obtained from index futures studies. The listed shares of thirty-eight South African companies were evaluated in terms of a possible volatility effect due to the initial trading of their respective single stock futures contacts. A GARCH(1,1) model established a volatility structure (pattern of behaviour) per company. Results, in general, showed a reduction in the level and changes in the structure of spot market volatility post single stock futures.

Impact of Index Futures and Options Introduction: A Case of Spot Market Volatility in BSE

2009 ◽  
Vol 5 (3) ◽  
pp. 97-105
Author(s):  
M. Selvam ◽  
M. Babu ◽  
G. Indhumathi ◽  
S. Krithiga
Keyword(s):  
Spot Market ◽  
Market Volatility ◽  
Index Futures ◽  
Futures And Options

The Effect of Futures Trading on Spot Market Liquidity

2005 ◽  
Vol 13 (1) ◽  
pp. 29-52
Author(s):  
Ki Yool Ohk
Keyword(s):  
Price Volatility ◽  
Spot Market ◽  
Market Liquidity ◽  
Stock Index ◽  
Spot Price ◽  
Spot Markets ◽  
Stock Index Futures ◽  
Trading Activity ◽  
Futures Trading ◽  
Index Futures

This study analyzes the effect of stock index futures trading on the price volatility and liquidity of spot markets, It is found that spot price volatility increases significantly after stock index futures are listed, This study partitions the trading activity series of sPOt markets into expected and unexpected components, and documents that unexpected spot-trading activities are associated with smaller sPOt price movements subsequent to the introduction of futures trading, This imolies that spot market liquidity has been increased by the intraduction of futures trading, Furthermore, this study examines the effect of futures-trading activity on the liquidity of spot markets, Results show that active futures markets enhance the liquidity of soot markets.

Sign in / Sign up

Export Citation Format

Share Document