Does derivatives trading destabilize the underlying assets? Evidence from the Spanish stock market

Corredor Pilar and Santamaria Rafael

Applied Economics Letters, 2002, vol. 9, issue 2, 107-110

Abstract: This paper analyses the effect of the introduction of derivatives (futures and options) in the Spanish market on the volatility and on the trading volume of the underlying index. The period analysed covers from October 1990 to December 1994. To study this effect, a GJR model is used. It is found, that although the asymmetry coefficient has increased, the conditional volatility of the underlying index declines after derivative markets are introduced. The trading volume of Ibex-35 increases significantly. Consequently, the introduction of the derivative contracts in Spain confirms a decrease in uncertainty in the underlying market and an increase in liquidity, which possibly enhances their efficiency.

Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (11)

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:9:y:2002:i:2:p:107-110

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

DOI: 10.1080/13504850110049441

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 ().