Futures trading and commodity spot market volatility: Empirical evidence on selected commodities in Indian market

2014 ◽  
Vol 5 (1) ◽  
pp. 43-61
Author(s):  
Masoud Parsa ◽  
T. Mallikarjunappa
Keyword(s):  
Empirical Evidence ◽  
Spot Market ◽  
Market Volatility ◽  
Indian Market ◽  
Futures Trading

scholarly journals The Volatility Effect of Single-Stock Futures Trading on the Pakistani Stock Market

2013 ◽  
Vol 2 (1) ◽  
pp. 65-93
Author(s):  
Adil Awan ◽  
Amir Rafique
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Spot Market ◽  
Market Volatility ◽  
Time Varying ◽  
Futures Trading ◽  
F Test ◽  
Single Stock Futures ◽  
The Impact ◽  
Econometric Technique

The impact of single-stock futures on spot market volatility is still debated in the finance literature. The aim of this study is to analyze the effect of the introduction of single-stock futures on the volatility of the Karachi Stock Exchange (KSE). We examine changes in the level of volatility and structure after the introduction of single-stock futures, evaluating 24 companies listed on the KSE. The study applies the F-test to determine differences in variance as a traditional measure for volatility and uses GARCH (1,1) as an econometric technique for detecting time-varying volatility. The results show that there is no effect on the volatility level but that changes occur in the structure of volatility after stock futures trading.

scholarly journals Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach

2015 ◽  
Vol 36 (1) ◽  
pp. 30-45 ◽  
Author(s):  
Martin T. Bohl ◽  
Jeanne Diesteldorf ◽  
Christian A. Salm ◽  
Bernd Wilfling
Keyword(s):  
Spot Market ◽  
Market Volatility ◽  
Futures Trading ◽  
Dummy Variable ◽  
Variable Approach ◽  
Dummy Variable Approach

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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