The Impact of Foreigners’ Trade Imbalances on KOSPI200 Futures Market Volatility

2017 ◽  
Vol 19 (6) ◽  
pp. 2933-2941
Author(s):  
Ming Wu ◽  
Ki Yool Ohk
Keyword(s):  
Futures Market ◽  
Market Volatility ◽  
Trade Imbalances ◽  
The Impact

The Impact of Introduction of QFIIs Trading on the Lead and Volatility Behavior: Evidence for Taiwan Index Futures Market

2006 ◽  
Vol 09 (01) ◽  
pp. 25-49 ◽  
Author(s):  
Wen-Hsiu Kuo ◽  
Shih-Ju Chan
Keyword(s):  
Futures Market ◽  
Market Volatility ◽  
Spot Markets ◽  
Noise Traders ◽  
Index Futures ◽  
Market Inefficiency ◽  
Foreign Institutional Investors ◽  
The Impact ◽  
Opening Up

This paper investigates whether the introduction of trading by qualified foreign institutional investors (QFIIs) has impacted the lead and volatility behavior of the futures market when the macroeconomic effects and some major economic events are controlled. First, we detect that some market inefficiency exists in Taiwan index futures market. Second, the evidence shows a strengthening in the lead of index futures over index spot markets following the introduction of trading by QFIIs. Third, we find evidence of an increase in the level of futures market volatility, implying that the quantity of information flowing into the futures market increases following the onset of trading by QFIIs. Finally, the asymmetries do not reduce after the opening up of the futures market to QFIIs. This finding is inconsistent with the view that the introduction of informed foreign investors may improve the reliability and quality of information and mitigate the effect of noise traders on market volatility.

Macroeconomic Announcements, Asymmetric Volatility, and IT

2011 ◽  
pp. 59-70
Author(s):  
Takeo Minaki ◽  
Ichihiro Uchida ◽  
Hiroshi Kamae
Keyword(s):  
Information Technology ◽  
Futures Market ◽  
Bond Market ◽  
Market Volatility ◽  
Frequency Data ◽  
Asymmetric Volatility ◽  
Related Information ◽  
Macroeconomic Announcements ◽  
The Impact ◽  
Bond Market Volatility

This study analyzes the impact of macroeconomic announcements on the conditional volatility of Japanese government bond (JGB) futures returns. As information technology continues to develop, the arrival and the processing of new market-related information becomes more rapid. Using high-frequency data of JGB futures, we find that announcement shocks influence the dynamics of bond market volatility. Our results provide empirical evidence that the JGB futures market does not immediately incorporate implications of macroeconomic announcement news. Volatility of JGB futures returns persists for a while. Moreover, after distinguishing among types of shocks, volatility is asymmetric. Negative shocks have a stronger impact on subsequent volatility than do positive shocks.

scholarly journals PENGARUH KONTRAK FUTURES INDEKS TERHADAP VOLATILITAS UNDERLYING SPOT MARKET DI INDONESIA

2017 ◽  
Vol 21 (1) ◽  
pp. 17
Author(s):  
Sukmawati Sukamulja ◽  
Sony Fidanti
Keyword(s):  
Market Efficiency ◽  
Spot Market ◽  
Futures Market ◽  
Market Volatility ◽  
Future Contract ◽  
Underlying Asset ◽  
Futures Contract ◽  
Asset Volatility ◽  
The One ◽  
The Impact

There were some contradictory between the impacts of futures contract to the volatility of underlying asset. In the one side, some researches concluded that futures transaction affect to underlying asset volatility, but in the other side said the future contract not had impact to the volatility of underlying asset. The results were not robust yet. Futures market in Indonesia started with LQ45 futures. The LQ45 futures had been stopped in 2009, just only nine years after it was opened. And then, after seven years off, the LQ45 futures started be operated on February 1, 2016. This research want to examine the impact of futures contract to the underlying spot market volatility. Beside that, this research also want to analyze the affect of futures contract to the market efficiency during 2001-2009 with GARCH (1,1) model. The result says that there is no futures index contract impact to their underlying spot market volatility, even though there is decreasing in volatility during the testing period. This research also find that futures contract index has impact to the market sensitivity and then increase the market efficiency.

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

scholarly journals Dealing fairly with trade imbalances in monetary unions

2021 ◽  
Vol 20 (1) ◽  
pp. 45-66
Author(s):  
Marco Meyer
Keyword(s):  
Economic Policy ◽  
Monetary Union ◽  
Trade Deficit ◽  
Current Situation ◽  
Institutional Arrangements ◽  
Monetary Unions ◽  
Member States ◽  
Trade Imbalances ◽  
Theories Of Justice ◽  
The Impact

Politicians around the globe wrangle about how to deal with trade imbalances. In the Eurozone, members running a trade deficit accuse members running a surplus of forcing them into deficit. Yet political philosophers have largely overlooked issues of justice related to trade imbalances. I address three such issues. First, what, if anything, is wrong with trade imbalances? I argue that in monetary unions, trade imbalances can lead to domination between member states. Second, who should bear the burden of rebalancing trade? I argue that surplus and deficit countries should share that burden. The current situation placing the burden squarely on deficit countries is unjust. Third, which institutional arrangements should monetary unions adopt to regulate trade balances? Monetary unions can either reduce trade imbalances within the monetary union, neutralise the impact of trade imbalances on the economic sovereignty of member states, or delegate economic policy affecting trade balances to a legitimate supranational institution. The Eurozone must adopt one of these options to prevent member states from domination. Which option protects members best against domination depends on what makes interference between members arbitrary, an unresolved question in republican theories of justice.

Stock Market Volatility and Terrorism: New Evidence from the Markov Switching Model

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Faheem Aslam ◽  
Hyoung-Goo Kang ◽  
Khurrum Shahzad Mughal ◽  
Tahir Mumtaz Awan ◽  
Yasir Tariq Mohmand
Keyword(s):  
Stock Market ◽  
Significant Risk ◽  
Market Volatility ◽  
Terrorist Attacks ◽  
Stock Market Volatility ◽  
Markov Switching Model ◽  
Physical Damage ◽  
Stock Market Returns ◽  
Switching Model ◽  
The Impact

AbstractTerrorism in Pakistan poses a significant risk towards the lives of people by violent destruction and physical damage. In addition to human loss, such catastrophic activities also affect the financial markets. The purpose of this study is to examine the impact of terrorism on the volatility of the Pakistan stock market. The financial impact of 339 terrorist attacks for a period of 18 years (2000–2018) is estimated w.r.t. target type, days of the week, and surprise factor. Three important macroeconomic variables namely exchange rate, gold, and oil were also considered. The findings of the EGARCH (1, 1) model revealed that the terrorist attacks targeting the security forces and commercial facilities significantly increased the stock market volatility. The significant impact of terrorist attacks on Monday, Tuesday, and Thursday confirms the overreaction of investors to terrorist news. Furthermore, the results confirmed the negative linkage between the surprise factor and stock market returns. The findings of this study have significant implications for investors and policymakers.

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