scholarly journals Determinants of Trading Activity on the Single-Stock Futures Market: Evidence from the Eurex Exchange

2010 ◽  
Author(s):  
Jedrzej Pawel Bialkowski ◽  
Jacek Jakubowski
Keyword(s):  
Futures Market ◽  
Trading Activity ◽  
Single Stock Futures

Effect of Margin Requirement on Default Risk and Liquidity in the Korean Futures Market

2016 ◽  
Vol 24 (2) ◽  
pp. 269-299
Author(s):  
Hak-Kyum Kim ◽  
Jinwoo Park
Keyword(s):  
Default Risk ◽  
Effective Means ◽  
Simulation Method ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Trading Activity ◽  
Futures Trading ◽  
Margin Requirements ◽  
Margin Requirement

Margin requirements are often viewed as an effective policy tool to prevent the default risk and maintain market stability. For the Korean futures market, this paper examines whether the margin requirements work normally as a tool to prevent default risk and margin changes have impact on futures trading activity. KOSPI200 stock index futures, USD (U.S. Dollar) futures, and 3-year KTB (Korean Treasury Bond) futures are included in the sample for the period from 2010 to 2015. Using the simulation method assuming the worst situation, we find that the possibility of default occurs once for KOSPI200 futures, twice for 3-year KTB futures, and 7 times for USD futures during the sample period. This result suggests that active margin requirement policy is necessary to prepare for financial market turbulence. In addition, we find that the margin changes do not have a significant impact on the futures trading activity, suggesting that decreases in margins are not effective means to improve liquidity in the Korean futures market

Market Timing Skill and Trading Activity in Taiwan’s Retail-Dominated Futures Market

2021 ◽  
pp. jpm.2021.1.249
Author(s):  
Shean-Bii Chiu ◽  
Jason Hsu ◽  
Hsing-Kuo Lai ◽  
Phillip Wool
Keyword(s):  
Market Timing ◽  
Futures Market ◽  
Trading Activity

scholarly journals Information revelation in the futures market: Evidence from single stock futures

2008 ◽  
Vol 28 (4) ◽  
pp. 335-353 ◽  
Author(s):  
Kuldeep Shastri ◽  
Ramabhadran S. Thirumalai ◽  
Chad J. Zutter
Keyword(s):  
Futures Market ◽  
Information Revelation ◽  
Single Stock Futures

scholarly journals Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan’s Futures Market

2013 ◽  
Vol 18 (1) ◽  
pp. 63-80 ◽  
Author(s):  
Safi Ullah Khan ◽  
Zaheer Abbas
Keyword(s):  
Empirical Evidence ◽  
Emerging Market ◽  
Systematic Risk ◽  
Estimation Procedure ◽  
Futures Market ◽  
Control Group ◽  
Index Futures ◽  
Market Effects ◽  
Underlying Stocks ◽  
Single Stock Futures

This paper examines the behavior of beta coefficients (systematic risk) for underlying stocks around the introduction of single-stock futures (SSFs) contracts in the Pakistani market, by employing models that account for nonsynchronous and thin trading and varying market conditions as “bull” and “bear” markets. Unlike the results of earlier studies on US markets, the empirical evidence tends to support a decline in systematic risk for the majority of underlying stocks in the post-futures listings period. Nevertheless, similar to SSFs stocks, we also find empirical evidence of a decrease in systematic risk for many of the control group stocks. This indicates that changes in beta estimates for SSFs-listed stocks might not be induced by the introduction of SSFs contract trading, but could be attributed to other market-wide or industry changes that have affected the overall market. Several plausible reasons, such as lack of program trading activities normally associated with index futures, market microstructure differences between developed markets and a developing market such as Pakistan, and the capturing of the “bear” and “bull” market effects on stock betas in our estimation procedure could explain these different results for Pakistan’s market.

Sign in / Sign up

Export Citation Format

Share Document