Identifying the role of consumer and producer price index announcements in stock index futures price changes

2021 ◽  
Author(s):  
Guofang Liu ◽  
Xi Fang ◽  
Yuan Huang ◽  
Weidong Zhao
Keyword(s):  
Price Index ◽  
Stock Index ◽  
Stock Index Futures ◽  
Price Changes ◽  
Producer Price ◽  
Producer Price Index ◽  
Index Futures ◽  
Futures Price

The informational role of end-of-the-day returns in stock index futures

1992 ◽  
Vol 12 (5) ◽  
pp. 595-601 ◽  
Author(s):  
Anthony F. Herbst ◽  
Edwin D. Maberly
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures

scholarly journals Futures Price and Trading Volume: Evidence From Malaysia

2020 ◽  
Author(s):  
Bakri Abdul Karim ◽  
Zulkefly Abdul Karim
Keyword(s):  
Trading Volume ◽  
Stock Index ◽  
Spot Price ◽  
Stock Index Futures ◽  
Index Futures ◽  
Spot Prices ◽  
Long Run ◽  
Causality Tests ◽  
Short Run ◽  
Futures Price

This paper examines the long- and short-run dynamic causality between the futures price and trading volume in the Malaysian equity market. The data of futures price, trading volume and spot price are in daily frequency, spanning from 2006 to 2009. By using ARDL cointegration and VECM causality tests, the findings revealed the existence of long-run relationship between futures price, volume and spot prices. In addition, there exists a short-run bidirectional causality relationship running between futures return-trading volume and futures return-spot return. Thus, the stock index futures market in Malaysia is not informational efficient.  

scholarly journals Responses of Economic News on Asset Prices: A Study of Indian Stock Index Futures

2020 ◽  
Vol 9 (SI) ◽  
pp. 3-14
Author(s):  
Ameet Kumar Banerjee
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Trading Activity ◽  
Index Futures ◽  
Economic News ◽  
Futures Contract ◽  
News Releases ◽  
The Relationship ◽  
Activity Variables

The study examines the role of economic news surprises on the volatility of the returns of the Indian Index futures market. Theoretical literature posits that news arrivals influence price discovery. In similar lines, we investigated the relationship between economic news releases, trading activity variables, and returns volatility. We find that economic news surprises and trading activity variables significantly affect returns volatility. However, among volume and news surprises, economic news surprises are much stronger informational signals, and the news surprises effects are found seemingly asymmetric in the index futures contract.

Tax Effects on the Basis of KOSPI200 Index Futures

2009 ◽  
Vol 17 (4) ◽  
pp. 105-135
Author(s):  
Jong-Moon Oh ◽  
Wan-Hee Kim
Keyword(s):  
Stock Index ◽  
Rate Of Return ◽  
Stock Index Futures ◽  
Tax Rate ◽  
Index Futures ◽  
Tax Effects ◽  
Standard Cost ◽  
Futures Price ◽  
The Difference ◽  
Cost Of Carry

This paper conducts an empirical analysis to examine the tax effect on the basis (the difference between the futures price and the cash price) of KOSPI200 stock-index futures. The standard cost-of-carry model relies on a simple non-arbitrage argument in which a trader replicates a “synthetic bond” with short in the futures and long in the underlying basket of cash stocks. While the synthetic bond provides the same or similar economic profiles as a normal interest-bearing instrument, the tax treatment for each is different under Korean tax code. The implicit taxes are expected to lower the before-tax rate of return on the synthetic bond, and thus to shrink the size of the basis. The analysis indicates that implicit taxes are reflected and thus priced in the basis of KOSPI200 stock-index futures.

A test of two models in forecasting stock index futures price volatility

1991 ◽  
Vol 11 (2) ◽  
pp. 179-190 ◽  
Author(s):  
W. L. Randolph ◽  
Mohammad Najand
Keyword(s):  
Price Volatility ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures ◽  
Futures Price

INVESTIGATION OF THE DISTRIBUTION OF PRICE CHANGES OF STOCK INDEX FUTURES

1987 ◽  
Vol 22 (3) ◽  
pp. 70-70
Author(s):  
Shahriar Khaksari ◽  
Thomas A. Aiuppa
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Price Changes ◽  
Index Futures
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