Stock Index Futures Trading and Volatility in International Equity Markets

CFA Digest ◽  
2001 ◽  
Vol 31 (1) ◽  
pp. 71-72
Author(s):  
William H. Sackley
Keyword(s):  
Equity Markets ◽  
Stock Index ◽  
Stock Index Futures ◽  
Futures Trading ◽  
Index Futures ◽  
International Equity Markets ◽  
International Equity

The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study

2002 ◽  
Vol 75 (1) ◽  
pp. 95-125 ◽  
Author(s):  
Robert W. Faff ◽  
Michael D. McKenzie
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Futures Trading ◽  
Index Futures ◽  
The Impact ◽  
Daily Returns

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.

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