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Applied Financial Economics Volume 14, 2004 - Issue 2
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Original Articles

The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange

Wee Ching Pok Department of Accounting and Finance, Business School, The University of Birmingham, Edgbaston, Birmingham B15 2TT, UK
&
Sunil Poshakwale Department of Accounting and Finance, Business School, The University of Birmingham, Edgbaston, Birmingham B15 2TT, UK
Pages 143-154 | Published online: 21 Aug 2006

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Akanksha Jalan, Roman Matkovskyy & Andrew Urquhart. (2021) What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?. The European Journal of Finance 27:13, pages 1251-1281.
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Shiqing Xie & Jiajun Huang. (2014) The Impact of Index Futures on Spot Market Volatility in China. Emerging Markets Finance and Trade 50:sup1, pages 167-177.
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Wai-Cheong Shum, AndyC. N. Kan & Tao Chen. (2014) Does Warrant Trading Matter in Tracking Errors of China-Focused Exchange-Traded Funds?. The Chinese Economy 47:1, pages 53-66.
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Abhilash S. Nair. (2011) Existence and extent of impact of individual stock derivatives on spot market volatility in India. Applied Financial Economics 21:8, pages 563-600.
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Evangelos Drimbetas, Nikolaos Sariannidis & Nicos Porfiris. (2007) The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market. Applied Financial Economics 17:2, pages 139-148.
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Vipul. (2006) Impact of the introduction of derivatives on underlying volatility: evidence from India. Applied Financial Economics 16:9, pages 687-697.
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Articles from other publishers (27)

Asifulla A.H. Mahaboob Basha. (2023) A Study on Optimizing Risk and Return through Options Trading Strategies. Asian Journal of Management, pages 11-14.
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Loc Dong Truong, H. Swint Friday & Anh Thi Kim Nguyen. (2022) The Effects of Index Futures Trading Volume on Spot Market Volatility in a Frontier Market: Evidence from Ho Chi Minh Stock Exchange. Risks 10:12, pages 234.
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Süleyman Gürbüz & Ahmet Şahbaz. (2022) Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa İstanbul. Borsa Istanbul Review 22:2, pages 321-331.
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Zhihong Jian, Xupei Li & Zhican Zhu. (2022) Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China. The North American Journal of Economics and Finance 59, pages 101632.
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Loc Dong Truong, Anh Thi Kim Nguyen & Dut Van Vo. (2020) Index Future Trading and Spot Market Volatility in Frontier Markets: Evidence from Ho Chi Minh Stock Exchange. Asia-Pacific Financial Markets 28:3, pages 353-366.
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Shailesh Rastogi & Chaitaly Athaley. (2019) Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective. Journal of Risk and Financial Management 12:2, pages 98.
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M R Malim, F A Halim, A Murad, H A Maad & N F M Annuar. (2017) The impact of derivatives on Malaysian stock market. Journal of Physics: Conference Series 890, pages 012130.
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S. Bhaumik, M. Karanasos & A. Kartsaklas. (2016) The informative role of trading volume in an expanding spot and futures market. Journal of Multinational Financial Management 35, pages 24-40.
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NIDHI CHOUDHARY, GIRISH K. NAIR & HARSH PUROHIT. (2015) VOLATILITY IN COPPER PRICES IN INDIA. Annals of Financial Economics 10:02, pages 1550008.
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Guangxi Cao, Yan Han, Weijun Cui & Yu Guo. (2014) Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data. Physica A: Statistical Mechanics and its Applications 414, pages 308-320.
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Rodrigo Lanna Franco da Silveira, Leandro Maciel & Rosangela Ballini. (2014) Derivativos sobre commodities influenciam a volatilidade dos preços à vista? Uma análise nos mercados de boi gordo e café arábica no Brasil. Revista de Economia e Sociologia Rural 52:3, pages 417-436.
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Leandro Maciel, Rodrigo Lanna Franco da Silveira, Ivette Luna & Rosangela Ballini. (2012) Impacto dos contratos futuros do Ibovespa na volatilidade dos índices de ações no Brasil: uma análise na crise do subprime. Estudos Econômicos (São Paulo) 42:4, pages 801-825.
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Ruchika Gahlot & Saroj Kumar Datta. (2012) Impact of future trading on stock market: a study of BRIC countries. Studies in Economics and Finance 29:2, pages 118-132.
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J.L. Ford, Wee Ching Pok & S. Poshakwale. (2012) The Return Predictability and Market Efficiency of the KLSE CI Stock Index Futures Market. Journal of Emerging Market Finance 11:1, pages 37-60.
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Ebru Çağlayan. (2011) The Impact of Stock Index Futures on the Turkish Spot Market. Journal of Emerging Market Finance 10:1, pages 73-91.
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P. Srinivasan. (2011) Stock Futures Trading Information and Spot Price Volatility: Evidence from the Indian Pharmaceutical Sector. Asia Pacific Business Review 7:1, pages 81-91.
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P. SrinivasanK. Srinivasan & Malabika Deo. (2009) Impact of Derivatives and Asymmetric Effect on Indian Stock Market Volatility. Asia Pacific Business Review 5:3, pages 11-18.
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Wee Ching Pok, Sunil S. Poshakwale & J.L. Ford. (2009) Stock index futures hedging in the emerging Malaysian market. Global Finance Journal 20:3, pages 273-288.
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Adnan Kasman & Saadet Kasman. (2008) The impact of futures trading on volatility of the underlying asset in the Turkish stock market. Physica A: Statistical Mechanics and its Applications 387:12, pages 2837-2845.
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Hooi Hooi Lean, Wing-Keung Wong & Michael McAleer. (2006) Stochastic Dominance Test for Risk Seekers: An Application to Oil Spot and Futures Markets. SSRN Electronic Journal.
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Shaen Corbet & Cian Twomey. (2013) Quantifying the Effects of the Inclusion and Segregation of Contracts for Difference in Australian Equity Markets. SSRN Electronic Journal.
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Shaen Corbet & Cian Twomey. (2014) How Have Contracts for Difference Affected Irish Equity Market Volatility?. SSRN Electronic Journal.
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Shaen Corbet. (2012) Quantifying the Effects of New Derivative Introduction on Exchange Volatility, Efficiency and Liquidity. SSRN Electronic Journal.
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Geoffrey Ngene & Peter Tauchner. (2013) Fundamentals Versus Speculation: What Really Drives Spillovers and Informed Trading in Futures and Spot Markets of Refined Petroleum Products?. SSRN Electronic Journal.
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Wing-Keung Wong, Hooi Hooi Lean, Shuangzhe Liu & Milind Sathye. (2011) Preferences of Malaysian Stocks and Futures Markets for Investors Before and After Crises. SSRN Electronic Journal.
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Hooi Hooi Lean, Kin Lam & Wing-Keung Wong. (2010) Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets. SSRN Electronic Journal.
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Hooi Hooi Lean, Donald D. Lien & Wing-Keung Wong. (2009) Futures versus Stocks: A Stochastic Dominance Study in Malaysian Markets. SSRN Electronic Journal.
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