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Applied Economics Letters Volume 8, 2001 - Issue 3
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Original Articles

Index futures trading and spot price volatility

Shang-Wu Yu
Pages 183-186 | Published online: 06 Oct 2010

Citations (18)

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Read on this site (3)

Imran Riaz Malik & Attaullah Shah. (2017) The Impact of Single Stock Futures on Market Efficiency and Volatility: A Dynamic CAPM Approach. Emerging Markets Finance and Trade 53:2, pages 339-356.
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Lik Fong & Chulwoo Han. (2015) Impacts of derivative markets on spot market volatility and their persistence. Applied Economics 47:22, pages 2250-2258.
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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 (15)

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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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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Xuan Zhou, Qingzuo Kuang & Honggang Li. 2021. IEIS 2020. IEIS 2020 259 271 .
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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Zura Kakushadze & Juan Andrés SerurZura Kakushadze & Juan Andrés Serur. 2018. 151 Trading Strategies. 151 Trading Strategies 121 130 .
Xuejun Fan & De Du. (2017) The spillover effect between CSI 500 index futures market and the spot market. China Finance Review International 7:2, pages 249-272.
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Martin T. Bohl, Jeanne Diesteldorf, Christian A. Salm & Bernd Wilfling. (2016) Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach. Journal of Futures Markets 36:1, pages 30-45.
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Martin T. Bohl, Jeanne Diesteldorf & Pierre L. Siklos. (2015) The effect of index futures trading on volatility: Three markets for Chinese stocks. China Economic Review 34, pages 207-224.
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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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George A. Karathanassis & Vasilios I. Sogiakas. (2009) Spill over effects of futures contracts initiation on the cash market: a regime shift approach. Review of Quantitative Finance and Accounting 34:1, pages 95-143.
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Spyros I. Spyrou. (2016) Index Futures Trading and Spot Price Volatility. Journal of Emerging Market Finance 4:2, pages 151-167.
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Kiran D. Karande. (2007) A Study of Castorseed Futures Market in India. SSRN Electronic Journal.
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Imran Riaz Malik & Attaullah Shah. (2017) Single Stock Futures and Their Impact on Risk Characteristics of the Underlying Stocks: A Dynamic CAPM Approach. SSRN Electronic Journal.
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Divya Verma Gakhar. (2015) Indian Derivatives Market: A Study of Impact on Volatility and Investor Perception. SSRN Electronic Journal.
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