Index futures trading and spot price volatility

Shang-Wu Yu

Applied Economics Letters, 2001, vol. 8, issue 3, 183-186

Abstract: A modified Levene statistic and a switching GARCH(1,1)-MA(1) model are employed to examine the impact of index futures contracts on the volatility of the spot market. The findings suggest that, following the introduction of index futures, the volatility of stock returns in the USA, France, Japan and Australia, rose significantly, while no significant changes in the volatility were found in the UK and Hong Kong. The different results might be attributed to macroeconomic factors and the structure of the various markets.

Date: 2001
References: View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:8:y:2001:i:3:p:183-186

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850150504568

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().