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.

scholarly journals Trading Activity and Price Behavior in the Stock and Stock Index Futures Markets in October 1987

1988 ◽  
Vol 2 (3) ◽  
pp. 25-44 ◽  
Author(s):  
James F Gammill ◽  
Terry A Marsh
Keyword(s):  
New York ◽  
Task Force ◽  
Stock Exchange ◽  
Stock Index ◽  
Stock Index Futures ◽  
Trading Activity ◽  
Market Mechanisms ◽  
Index Futures ◽  
Futures Contract ◽  
Starting Point

This paper discusses what actually happened during the October 1987 market break and the days immediately before. It attempts to lay out a set of stylized facts that describe differing categories of traders and how they behaved and reacted to each other during those days. We believe that this description of what actually happened provides a necessary starting point for financial economists interested in explaining the stock market break. Our discussion here will rely heavily on the report of the Presidential Task Force on Market Mechanisms, created by Ronald Reagan to investigate these events, as well as on the reports of the Securities and Exchange Commission and the Commodity Futures Trading Commission. [Both authors were staff members with the Presidential Task Force on Market Mechanisms.] We focus on trading activity on the New York Stock Exchange (NYSE) and on the S&P 500 stock index futures contract traded on the Chicago Mercantile Exchange (CME).

scholarly journals Shock Transfer in Futures and Spot Markets: An Agent-Based Simulation Modelling Method

2021 ◽  
Vol 2021 ◽  
pp. 1-12
Author(s):  
Xuan Zhou ◽  
Menggang Li
Keyword(s):  
Simulation Modelling ◽  
Futures Market ◽  
Stock Index ◽  
Market Model ◽  
Stock Index Futures ◽  
Risky Assets ◽  
Index Futures ◽  
Market Interaction ◽  
Futures Contract ◽  
Arbitrage Trading

There have been heated debates about the role of stock index futures in the financial market, especially during the crash periods. In this paper, a multiagent spot-futures market model is developed to analyze the micromechanism of shock transfer across spot and futures markets. We assume that there are two stocks and one stock index futures contract in the spot-futures market. Agents are heterogeneous, including fundamentalists, chartists, noise traders, and arbitragers. The spot market and the futures market are linked by arbitragers. The simulation results show that our spot-futures market model can reproduce various important stylized facts, including the price co-movement between stock index prices and index futures prices and the fat-tailed distribution of the returns of risky assets and the basis. Further analysis shows that when we introduce an exogenous fundamental shock to one of the stocks, the backwardation phenomenon appears in the futures market and the shock is widespread across the whole market by means of index futures. Moreover, the backwardation gradually disappears when the number of arbitragers increases. Besides, when there are few arbitragers or when there are sufficient arbitragers, shocks cannot be transferred to other stocks via the futures market, while an intermediate level of arbitrage will amplify the shock transfer and hurt market stability. These findings underscore that arbitragers play an important role in spot-futures market interaction and shock transfer, and adequate arbitrage trading during crises may help eliminate the positive basis and halt the further spread of the crises.

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.

Price Clustering in the Nikkei 225 Stock Index Futures Contract on the SIMEX: An Intraday Empirical Analysis

2000 ◽  
Vol 03 (04) ◽  
pp. 519-533 ◽  
Author(s):  
Horace Chueh
Keyword(s):  
Financial Markets ◽  
Empirical Analysis ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures ◽  
Futures Contract ◽  
High Volatility ◽  
Price Clustering ◽  
Bid Ask Spreads

Price clustering in financial markets has been identified by previous studies. However, few studies have examined the phenomenon in the futures market. This paper presents price clustering for the Nikkei 225 stock index futures contract on the SIMEX. An extremely low percentage of odd-tick trades appears at the opening for the first trading session, while moderately low percentage occurs at the opening and the closing for the second trading session. GARCH estimation results document that the degree of price clustering increases in the periods with high volatility, bid-ask spreads, and transaction frequency. Price clustering tends to occur on the last trading day which the futures contract is to be presented. Generally, the results support the negotiation hypothesis of price clustering proposed by Harris (1991).

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
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