Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach
Author:
Affiliation:
1. Martin T. Bohl, Jeanne Diesteldorf and Bernd Wilfling are with the Department of Economics; Westfälische Wilhelms-University Münster; Germany
2. Christian A. Salm is with d-fine GmbH; Frankfurt Germany
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21723/fullpdf
Reference32 articles.
1. Futures trading, information and spot price volatility: Evidence for the FTSE-100 stock index futures contract using GARCH;Antoniou;Journal of Banking and Finance,1995
2. The effects of stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news;Antoniou;Journal of Futures Markets,1998
3. Index futures and positive feedback trading: Evidence from major stock exchanges;Antoniou;Journal of Empirical Finance,2005
4. Futures markets, regulation and volatility: The case of the Nikkei stock index futures markets;Bacha;Pacific-Basin Finance Journal,1994
5. Stock price volatility: Some evidence from an ARCH model;Baldauf;Journal of Futures Markets,1991
Cited by 10 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting;International Review of Financial Analysis;2024-07
2. The effect of the 2008–09 short selling sales ban on UK security equities in relation to market metrics of volatility, liquidity, and price discovery;Research in International Business and Finance;2024-06
3. The Effects of Index Futures Trading Volume on Spot Market Volatility in a Frontier Market: Evidence from Ho Chi Minh Stock Exchange;Risks;2022-12-08
4. Index option trading and equity volatility: Evidence from the SSE 50 and CSI 500 stocks;International Review of Economics & Finance;2021-05
5. The role of gold futures in mitigating the impact of economic uncertainty on spot prices: Evidence from China;Research in International Business and Finance;2021-04
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3