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Cash Trading and Index Futures Price Volatility
Li, Jinliang - 2013
This study examines the effect of cash market liquidity on the volatility of stock index futures. Two facets of cash … NYSE volume are negatively associated with the ex ante daily volatility of S&P 500 and NYSE composite index futures …. Conversely, liquidity and noise trading in the cash market both dampen futures price volatility, ceteris paribus. This negative …
Persistent link: https://www.econbiz.de/10013072266
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Noise, equity prices, and hedging : a new approach
Bertus, Mark; Godbey, Jonathan; Hinkelmann, Christoph; … - In: International review of financial analysis 17 (2008) 5, pp. 886-902
Persistent link: https://www.econbiz.de/10003792315
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Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets
Chung, Huimin; Sheu, Her-jiun; Hsu, Shufang - In: International review of economics & finance : IREF 19 (2010) 4, pp. 742-754
Persistent link: https://www.econbiz.de/10009006975
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Algorithmic trading and market quality : evidence from the Taiwan index futures market
Chang, Ya-Kai; Chou, Robin K. - In: The journal of futures markets 42 (2022) 10, pp. 1837-1855
Persistent link: https://www.econbiz.de/10013465825
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Small trades and volatility increases after stock splits
Chen, Chun-nan; Wu, Chunchi - In: International review of economics & finance : IREF 18 (2009) 4, pp. 592-610
Persistent link: https://www.econbiz.de/10003902672
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Who trades in the stock index futures market when the underlying cash market is not trading?
Chan, Yue-cheong - In: Pacific-Basin finance journal 13 (2005) 5, pp. 547-561
Persistent link: https://www.econbiz.de/10003176621
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Testing the mixture-of-distributions hypothesis using "realized" volatility
Luu, James C.; Martens, Martin - In: The journal of futures markets 23 (2002) 7, pp. 661-679
Persistent link: https://www.econbiz.de/10001769720
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The informational role of option trading volume in equity index options markets
Sarwar, Ghulam - In: Review of quantitative finance and accounting 24 (2005) 2, pp. 159-176
Persistent link: https://www.econbiz.de/10002851822
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Market liquidity and flow-driven risk
Deuskar, Prachi; Johnson, Tim - In: The review of financial studies 24 (2011) 3, pp. 721-753
Persistent link: https://www.econbiz.de/10008934104
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"Shooting the messenger?" : the impact of short sale bans in times of crisis
Appel, Ian; Fohlin, Caroline - 2011
United States. Furthermore, we find that bans on covered short sales generally succeeded in lowering volatility. Banning … (temporarily) stemming liquidity loss during crises. -- short selling ban ; liquidity ; volatility …
Persistent link: https://www.econbiz.de/10008806365