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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

Bologna, Pierluigi; Cavallo, Laura - In: Applied financial economics 12 (2002) 3, pp. 183-192

Persistent link: https://www.econbiz.de/10001640358

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

Bologna, Pierluigi - 2018

The impact of futures trading on the underlying asset volatility, and its characteristics, is still debated both in the economic literature and among practitioners. The aim of this study is to analyse the effect of the introduction of stock index futures on the volatility of the Italian Stock...

Persistent link: https://www.econbiz.de/10012940258

Do stock market anomalies disappear?: The example of small size and market-to-book premia at the London stock exchange

Becchetti, Leonardo; Cavallo, Laura - In: Financial modelling : with 74 tables : [a selection of …, (pp. 13-29). 2000

Persistent link: https://www.econbiz.de/10001484936

An X-efficiency analysis of different banking organizational types in Europa

Cavallo, Laura; Rossi, Stefania - In: Financial modelling : with 74 tables : [a selection of …, (pp. 143-157). 2000

Persistent link: https://www.econbiz.de/10001484970

Index futures activity and stock market volatility : an empirical analysis of the Italian stock exchange

Bologna, Pierluigi - In: Giornale degli economisti e annali di economia 59 (2000) 1, pp. 49-86 = Vol. 113

Persistent link: https://www.econbiz.de/10001647570