The predictability of Finnish stock index futures and cash returns by derivatives volume

The predictability of Finnish stock index futures and cash returns by the volume of stock index options and futures is investigated. Relying on Granger causality tests and vector autoregression, the results support the hypothesis that derivatives trading volume cannot be used to predict returns.

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Year of publication:	1995
Authors:	Ostermark, Ralf ; Martikainen, Teppo ; Aaltonen, Jaana
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 2.1995, 10, p. 391-393
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009277936