Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH-Reference-Cited by-同舟云学术

Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH

Published:2002-03 Issue:3 Volume:12 Page:183-192
ISSN:0960-3107
Container-title:Applied Financial Economics
language:en
Short-container-title:Applied Financial Economics

Author:

Bologna Pierluigi,Cavallo Laura

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/09603100110088085

Reference38 articles.

1. Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH

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