scholarly journals The effect of diary futures trading activity on their price volatility: literature review

2019 ◽  
Vol 13 (1) ◽  
pp. 47-53
Author(s):  
Algirdas Justinas Staugaitis
Keyword(s):  
Literature Review ◽  
Price Volatility ◽  
Trading Activity ◽  
Futures Trading

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.

Futures-Trading Activity and Stock Price Volatility

1992 ◽  
Vol 47 (5) ◽  
pp. 2015-2034 ◽  
Author(s):  
HENDRIK BESSEMBINDER ◽  
PAUL J. SEGUIN
Keyword(s):  
Stock Price ◽  
Price Volatility ◽  
Trading Activity ◽  
Futures Trading ◽  
Stock Price Volatility

scholarly journals Futures Trading Activity and Commodity Cash Price Volatility

2005 ◽  
Vol 32 (1-2) ◽  
pp. 297-323 ◽  
Author(s):  
Jian Yang ◽  
R. Brian Balyeat ◽  
David J. Leatham
Keyword(s):  
Price Volatility ◽  
Trading Activity ◽  
Futures Trading

scholarly journals Volatility Dynamics in Oil and Oilseeds Spot and Futures Market in India

2016 ◽  
Vol 41 (2) ◽  
pp. 132-148 ◽  
Author(s):  
Meenakshi Malhotra ◽  
Dinesh Kumar Sharma
Keyword(s):  
Futures Markets ◽  
Garch Model ◽  
Price Volatility ◽  
Spot Market ◽  
Futures Market ◽  
Spot Price ◽  
Volatility Spillover ◽  
Trading Activity ◽  
Futures Trading ◽  
The Impact

Executive Summary India occupies the fifth position in the vegetable oil economy of the world. The demand for oilseeds and vegetable oil has far exceeded the domestic output necessitating huge imports. Futures market helps to bring price stability for the development of the underlying physical market. The present study investigates the volatility dynamics in spot and futures markets of select oil and oilseeds commodities. The objectives of this article are to study (a) the information transmission process between spot and futures markets, also called volatility spillover and (b) the impact of futures trading activity on the volatility of physical market prices. The commodities selected from oil and oilseeds segment are refined soya oil, mustard seed, crude palm oil, and mentha oil. The study uses basic Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model to capture volatility in prices of the selected commodities. Bivariate GARCH model makes use of information in the history of two different markets for testing volatility spillover between two markets of the same underlying commodity. The relationship between futures trading activity and spot price volatility is investigated for examining the impact of futures trading activity on the volatility of underlying spot market. Two variables, viz., futures trading volume and open interest are decomposed into expected and unexpected components and are taken as a proxy for the level of trading activity. The contemporaneous and dynamic relationships are studied with the help of augmented GARCH model and Granger causality, respectively. It is observed that there is an efficient transmission of information between spot and futures markets but it is the spot market which leads to the flow of information to futures and hence causes greater spillover of volatility. The spot market has a greater impact on the volatility of futures market, indicating that informational efficiency of oilseeds spot market is stronger than that of the futures market. The contemporaneous and dynamic relationship between spot price volatility and futures trading activity tested with econometric models provide evidence of the destabilizing impact of an unexpected increase in futures trading activity (volume or open interest) on the spot price volatility in three out of four commodities studied. This indicates that badly informed traders present in futures market are destabilizing the underlying spot market by inducing noise and lowering the information content of prices.

scholarly journals Trading Activity and Price Volatility in the Municipal Bond Market

2002 ◽  
Vol 2002 (39) ◽  
pp. 1-30
Author(s):  
Chris Downing ◽  
◽  
Frank X. Zhang
Keyword(s):  
Price Volatility ◽  
Bond Market ◽  
Municipal Bond ◽  
Trading Activity
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