The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market

References

• Aggarwal , R . 1988 . Stock index futures and cash market volatility . Review of Futures Market , 7 : 290 – 9 .
   Google Scholar
• Agmon , T . 1972 . The relations among equity markets: a study of share price co-movements in the United States, United Kingdom, Germany and Japan . The Journal of Finance , 27 : 839 – 55 .
   Web of Science ®Google Scholar
• Akgiray , V . 1989 . Conditional heteroskedasticity in time series of stock returns: evidence and forecasts . Journal of Business , 62 : 55 – 80 .
   Web of Science ®Google Scholar
• Alexakis , P and Xanthakis , M . 1995 . Day of the week effect on the Greek stock market . Applied Financial Economics , 5 : 43 – 50 .
   Google Scholar
• Antoniou , A , Holmes , P and Priestley , R . 1998 . The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to news . Journal of Futures Market , 8 : 151 – 66 .
   Google Scholar
• Barkoulas , J and Travlos , N . 1998 . Chaos in an emerging capital market? The case of the Athens stock exchange . Applied Financial Economics , 8 : 231 – 43 .
   Google Scholar
• Barkoulas , JT , Baum , CF and Travlos , N . 2000 . Long memory in the Greek stock market . Applied Financial Economics , 10 : 177 – 84 .
   Google Scholar
• Barone , E . 1990 . The Italian stock market efficiency and calendar anomalies . Journal of Banking and Finance , 14 : 483 – 510 .
   Web of Science ®Google Scholar
• Bessembinder , H and Seguin , PJ . 1992 . Futures trading activity and stock price volatility . Journal of Finance , 47 : 2015 – 34 .
   Web of Science ®Google Scholar
• Black , F . 1986 . Noise . Journal of Finance , 41 : 529 – 43 .
   Web of Science ®Google Scholar
• Bollerslev , T . 1986 . Generalized autoregressive conditional heteroscedasticity . Journal of Econometrics , 31 : 307 – 27 .
   Web of Science ®Google Scholar
• Bollerslev , T , Chou , RY and Kroner , FF . 1992 . ARCH modeling in finance: a review of the theory and empirical evidence . Journal of Econometrics , 52 : 5 – 59 .
   Web of Science ®Google Scholar
• Bologna , P and Cavallo , L . 2002 . Does the introduction of stock index futures effectively reduce stock market volatility? Is the ‘future effect’ immediate? Evidence from the Italian stock exchange using GARCH . Applied Financial Economics , 12 : 183 – 92 .
   Google Scholar
• Braun , PA , Nelson , DB and Sunier , AM . 1991 . Good news, bad news, volatility and betas . Journal of Finance , 50 : 1575 – 603 .
   Google Scholar
• Brailsford , TJ and Faff , RW . 1996 . An evaluation of volatility forecasting techniques . Journal of Banking and Finance , 20 : 419 – 38 .
   Web of Science ®Google Scholar
• Brown-Hruska , S and Kuserk , G . 1995 . Volatility, volume, and the notion of balance in the S&P500 cash and futures markets . Journal of Futures Markets , 15 : 677 – 89 .
   Web of Science ®Google Scholar
• Calado , JPT , Garcia , MTM and Poreira , SETM . 2005 . An empirical analysis of the effects of options and futures listing on the underlying stock return volatility: the Portuguese case . Applied Financial Economics , 15 : 907 – 13 .
   Google Scholar
• Central Securities Depository . 2005 . Monthly Statistical Bulletin ,
   Google Scholar
• Chatrath , A , Song , F and Adrangi , B . 2003 . Futures trading activity and stock price volatility: some extension . Applied Financial Economics , 13 : 655 – 64 .
   Google Scholar
• Chortareas , GE , McDermott , JB and Ritsatos , TE . 2000 . Stock market volatility in an emerging market: further evidence from Athens stock exchange . Journal of Business Finance & Accounting , 27 : 983 – 1002 .
   Google Scholar
• Chu , S-H and Freund , S . 1996 . Volatility estimation for stock index options: a GARCH approach . The Quarterly Review of Economics and Finance , 36 : 431 – 50 .
   Web of Science ®Google Scholar
• Coutts , AJ , Kaplanidis , C and Roberts , J . 2000 . Security price anomalies in an emerging market: the case of the Athens Stock Exchange . Applied Financial Economics , 10 : 561 – 751 .
   Google Scholar
• Darrat , AF and Rahman , S . 1995 . Has futures trading activity caused stock price volatility . Journal of futures markets , 15 : 537 – 57 .
   Web of Science ®Google Scholar
• Darrat , AF , Rahman , S and Zhong , M . 2002 . On the role of futures trading in spot market fluctuations: perpetrator of volatility or victim of regret? . The Journal of Financial Research , 25 : 431 – 44 .
   Google Scholar
• Davis , CD and White , A . 1987 . Stock market volatility , Staff Study Number 153, Board of Governors of the Federal Reserve System .
   Google Scholar
• Dekker , A , Sen , K and Young , M . 2001 . Equity market linkages in the Asia Pacific region. A comparison of the orthogonalised and generalized VAR approaches . Global Finance Journal , 12 : 1 – 33 .
   Google Scholar
• Dickey , DA and Fuller , WA . 1981 . Likelihood ratio statistics for autoregressive time series with unit root . Econometrica , 49 : 1057 – 72 .
   Web of Science ®Google Scholar
• Engle , RF . 1982 . Autoregressive conditional Heteroscedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1007 .
   Web of Science ®Google Scholar
• Engle , RF and Ng , VK . 1993 . Measuring and testing the impact of news on volatility . Journal of Finance , 48 : 1749 – 78 .
   Web of Science ®Google Scholar
• Edwards , FR . 1988a . Does the future trading increase stock market volatility? . Financial Analysts Journal , 44 : 63 – 9 .
   Google Scholar
• Edwards , FR . 1988b . Futures trading and cash market volatility: stock index and interest rate futures . Journal of Futures Markets , 8 : 421 – 39 .
   Web of Science ®Google Scholar
• Fama , E . 1963 . Mandelbrot and the stable paretian distribution . Journal of Business , 36 : 420 – 429 .
   Web of Science ®Google Scholar
• Fama , E . 1965 . The behavior of stock market prices . Journal of Business , 38 : 34 – 105 .
   Web of Science ®Google Scholar
• Figlewski , S . 1981 . Futures trading and volatility in the GNMA market . Journal of Finance , 36 : 445 – 56 .
   Web of Science ®Google Scholar
• French , KR , Schwert , GW and Stambaugh , RF . 1987 . Expected stock returns and volatility . Journal of Financial Economics , 19 : 3 – 29 .
   Web of Science ®Google Scholar
• Harris , L . 1989 . S&P 500 Cash stock price volatilities . The Journal of Finance , 44 : 1155 – 75 .
   Web of Science ®Google Scholar
• Illenca , M and Lafuente , JA . 2003 . The effect of spot and future trading on stock index market volatility: a nonparametric approach . The Journal of Futures Markets , 23 : 841 – 58 .
   Google Scholar
• Kan , CV . 1999 . The effect of index futures trading on volatility of HIS constituent stocks . Pacific-Basin Finance Journal , 5 : 105 – 14 .
   Google Scholar
• Keim , D and Stambaugh , R . 1984 . A further investigation of the weekend effect in stocks returns . Journal of Finance , 39 : 819 – 40 .
   Web of Science ®Google Scholar
• King , MA and Wadhwani , S . 1990 . Transmission of Volatility between Stock Markets . The Review of Financial Studies , 3 : 5 – 33 .
   Web of Science ®Google Scholar
• Knif , J and Pynnonen , S . 1999 . Local and global price memory of international stock markets . Journal of International Financial Markets, Institutions and Money , 9 : 129 – 147 .
   Google Scholar
• Koch , P and Koch , T . 1991 . Evolution in dynamic linkage across daily national stock indexes . Journal of International Money and Finance , 10 : 231 – 51 .
   Web of Science ®Google Scholar
• Koutmos , G , Negakis , C and Theodossiou , P . 1993 . Stochastic behaviour of the Athens stock exchange . Applied Financial Economics , 3 : 119 – 26 .
   Google Scholar
• Laopodis , NT . 1996 . Distributional properties and weekly return pattern of the Athens stock exchange . Applied Economics Letters , 3 : 769 – 774 .
   Google Scholar
• Lee , SB and Ohk , KY . 1992 . Stock index futures listing and structural change in time-varying volatility . The Journal of Futures Markets , 12 : 493 – 509 .
   Web of Science ®Google Scholar
• Mills , TC , Siriopoulos , C , Markellos , RN and Harizanis , D . 2000 . Seasonality in the Athens stock exchange . Applied Financial Economics , 10 : 137 – 42 .
   Google Scholar
• Nelson , D . 1991 . Conditional heteroskedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 70 .
   Web of Science ®Google Scholar
• Panton , DB , Lessing , PV and Joy , M . 1976 . Comovement of international equity markets: a taxonomic approach . Journal of Financial and Quantitative Analysis , 9 : 415 – 32 .
   Google Scholar
• Papachristou , G . 1999 . Stochastic of the Athens stock exchange: a case of institutional nonsynchronous trading . Applied Financial Economics , 9 : 239 – 50 .
   Google Scholar
• Pilar , C and Rafael , S . 2002 . Does derivatives trading destabilize the underlying assets? Evidence from the Spanish stock market . Applied Economics Letters , 9 : 107 – 10 .
   Web of Science ®Google Scholar
• Pok , WC and Poshakwale , S . 2004 . The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur stock exchange . Applied Financial Economics , 14 : 143 – 54 .
   Google Scholar
• Ryoo , H-J and Smith , G . 2004 . The impact of stock index futures on the Korean stock market . Applied Financial Economics , 14 : 243 – 51 .
   Google Scholar
• Santoni , GJ . 1987 . Has programmed trading made stock price more volatile? . Federal Reserve Bank of St. Louis, Review , 69 : 8 – 29 .
   Google Scholar
• Stein , JC . 1987 . Informational externalities and welfare-reducing Speculation . Journal of Political Economy , 95 : 1123 – 45 .
   Web of Science ®Google Scholar
• Wanatabe , T . 2001 . Price volatility, trading volume, and market depth: evidence from the Japanese stock index futures market . Applied Financial Economics , 11 : 651 – 58 .
   Google Scholar
• Wu , G . 2001 . The determinants of asymmetric volatility . Review of Financial Studies , 14 : 837 – 59 .
   Web of Science ®Google Scholar