Testing for Feedback Trading in Index Futures: A Dynamic CAPM Approach

2002 ◽  
Author(s):  
Gregory Koutmos
Keyword(s):  
Index Futures ◽  
Feedback Trading

Index futures and positive feedback trading: evidence from major stock exchanges

2005 ◽  
Vol 12 (2) ◽  
pp. 219-238 ◽  
Author(s):  
Antonios Antoniou ◽  
Gregory Koutmos ◽  
Andreas Pericli
Keyword(s):  
Positive Feedback ◽  
Stock Exchanges ◽  
Index Futures ◽  
Feedback Trading

Positive feedback trading: a review

2014 ◽  
Vol 6 (2) ◽  
pp. 155-162 ◽  
Author(s):  
Gregory Koutmos
Keyword(s):  
Positive Feedback ◽  
Empirical Work ◽  
Empirical Literature ◽  
Future Research ◽  
Trading Behavior ◽  
Content Type ◽  
Index Futures ◽  
Feedback Model ◽  
Exchange Markets ◽  
Feedback Trading

Purpose – The literature on positive feedback trading has grown considerably in recent years. The purpose of this paper is to provide a review of the theoretical and empirical literature on positive feedback trading and especially the literature related to the Sentana and Wadhwani (1992) model. Design/methodology/approach – This literature review covers theoretical and empirical work in this area and it points out shortcomings and potential extensions of the basic feedback model. Findings – The evidence so far points in the direction of positive feedback trading being present in aggregate stock market indices, index futures, bond markets, foreign exchange markets and individual stocks. There are some important issues that require further investigation. For example, it is likely that feedback trading is a function of longer lags of past return. Likewise, asymmetric behavior during up and down markets appears to be the rule rather than the exception. More importantly, the models should allow for positive as well as negative feedback and be general enough to investigate feedback trading behavior in individual assets and not just the aggregate market. Research limitations/implications – The discussion points out theoretical and empirical limitations and shortcomings of the extant literature. Originality/value – This is the first paper to review positive feedback trading, implications, limitations and need for future research.

Volatility and Trading Demands in Stock Index Futures

CFA Digest ◽  
2003 ◽  
Vol 33 (3) ◽  
pp. 101-102
Author(s):  
Frank T. Magiera
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures
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