Effects of Spot Market Short-Sale Constraints on Index Futures Trading

2016 ◽  
pp. rfw020
Author(s):  
Frank J. Fabozzi ◽  
Ahmet K. Karagozoglu ◽  
Na Wang
Keyword(s):  
Spot Market ◽  
Futures Trading ◽  
Index Futures ◽  
Short Sale Constraints ◽  
Short Sale

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.

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.

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