Author : 廖志偉
Publisher :
Page : pages
File Size : 21,45 MB
Release : 2017
Category :
ISBN :
Author : Sotirios Karagiannis
Publisher :
Page : 50 pages
File Size : 50,52 MB
Release : 2014
Category :
ISBN :
This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of FTSE/ASE-20 futures and the underlying FTSE/ASE-20 cash index of the Athens Stock Exchange. The results suggest that there is a bidirectional causality between spot and futures returns, rejecting the usual result of futures leading spot market. However, spot market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by using a bivariate EGARCH(1,1) model. This model is found to capture all the volatility dynamics. The results indicate that the transmission of volatility is bidirectional. Any piece of information that is released by the cash market has an effect on futures market volatility, and vice versa. Nevertheless, the volatility spillover from spot to futures market is slightly stronger than in the reverse direction.
Author : Jeng-Hong Chen
Publisher :
Page : 14 pages
File Size : 40,95 MB
Release : 2014
Category :
ISBN :
After the Debt Ceiling Bill was passed on August 2, 2011, the S&P 500 index returns volatility increased significantly until the end of 2011. This research investigates the return volatility movements in S&P 500 spot index and index futures markets, the lead/lag relationship between two markets, and the effect of volatility on the trading costs using year 2011 intraday data. The analyses of intraday data show the following results during the higher volatility period (8/3/2011-12/30/2011): First, the difference of return variances between index futures and spot index is even greater than that during the lower volatility period. Second, the index futures market leads the spot index market and the interaction between both markets becomes stronger. Third, both index futures and spot index exhibit clearer U-shape intraday pattern of return volatilities. Finally, the trading costs, measured by the bid-ask spreads, are significantly larger.
Author : Michael S. Johannes
Publisher :
Page : 47 pages
File Size : 32,97 MB
Release : 2011
Category :
ISBN :
This paper examines a class of continuous-time models that incorporate jumps in returns and volatility, in addition to diffusive stochastic volatility. We develop a likelihood-based estimation strategy and provide estimates of model parameters, spot volatility, jump times and jump sizes using both Samp;P 500 and Nasdaq 100 index returns. Estimates of jumps times, jump sizes and volatility are particularly useful for disentangling the dynamic effects of these factors during periods of market stress, such as those in 1987, 1997 and 1998. Using both formal and informal diagnostics, we find strong evidence for jumps in volatility, even after accounting for jumps in returns. We use implied volatility curves computed from option prices to judge the economic differences between the models. Finally, we evaluate the impact of estimation risk on option prices and find that the uncertainty in estimating the parameters and the spot volatility has important, though very different, effects on option prices.
Author : Epameinondas Katsikas
Publisher :
Page : pages
File Size : 23,4 MB
Release : 2016
Category :
ISBN :
Purpose- This paper seeks to investigate the relationship between volatility and autocorrelation in major European stock index futures markets.Design/methodology/approach- The methodology is based on the exponential autoregressive model with conditionally heteroskedastic errors (EAR-GARCH).Findings- The evidence points to a negative relationship between volatility and autocorrelation. Specifically, autocorrelation is low during volatile periods and high during calm periods. This evidence is in agreement with LeBaron's findings for US stock market returns, suggesting that return dynamics are similar across asset categories.Research limitations/implications- An obvious limitation of this study is the lack of a theoretical justification for the observed relationships in futures markets, an area where future research should be directed.Practical implications- The observed relationships suggest that futures prices are non-linearly predictable so that short-term trading could produce abnormal returns.Originality/value- The paper documents a negative relationship between volatility and autocorrelation in major European futures markets. This finding should be of interest to researchers and market participants.
Author : Jean-Paul Chavas
Publisher : University of Chicago Press
Page : 394 pages
File Size : 10,55 MB
Release : 2014-10-14
Category : Business & Economics
ISBN : 022612892X
"The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.
Author : Muthucattu Paul
Publisher :
Page : 26 pages
File Size : 29,35 MB
Release : 2014
Category :
ISBN :
This paper examines the effects of persistence, asymmetry, and the US Sub-prime Mortgage crisis on the volatility of the returns and also the linkages and causality between the spot and futures volatility by using various classes of the ARCH and GARCH models, and through the Granger's causality. We have used two indices: one for spot and the other for futures, for the daily data from, June 12th 2000 to September 30th 2013 from Nifty stock market of India. The descriptive statistics of the 'return data' calculated from log first differences, shows that the returns are not following the normal distributions. The magnitude of the volatility in returns of the spot and the futures market are similar, and therefore there is no evidence that the futures market volatility is higher. We have then tested for ARCH effects, and subsequently employed various models of the ARCH and GARCH conditional volatility. The ARCH effect is significant in both spot and futures market returns volatility. The GARCH (1,1) model is found to be significant, and therefore, in contrast to an ARCH model, GARCH (1,1) model implies that the returns are not autocorrelated, have 'short memory,' and depend on the constant mean only, similar in a way, to the CAPM'S expected return concept. It supports the hypothesis of the efficiency of the markets. The negative 'news' has more significant effect on volatility, corroborating the 'leverage impact' in finance on market volatility. We have also tested the volatility spillover effects from spot return variance to future return variance, through adding explanatory variables to the variance equations. We have also, after knowing the stationarity properties of the 'return series' employed the Granger causality to know the linkages between spot and futures return volatility. Both methods support the spillover effects. There is bidirectional Granger's causality between futures and spot return volatility. We also have used the dummy variable for the US Sub-prime mortgage financial crisis to know the effect on the volatility of the stock returns in Indian market and found that they are statistically significant. Indian stock market is thus integrated to the world stock markets and the news effects from outside, especially that of the US.
Author : Gary Robinson
Publisher :
Page : pages
File Size : 45,85 MB
Release : 1998
Category :
ISBN :
The stock market crash of October 1987 and the growing importance of index arbitrage and portfolio insurance helped to focus the attention of academics, practitioners and regulators on the possibly destabilising role of equity index futures on the underlying cash market. Although theoretical evidence on this question is somewhat ambiguous, empirical evidence, relating particularly to US markets, has been less equivocal: typically, no significant effect of futures trading has been found. This paper presents an analysis of daily stock price volatility on the London Stock Exchange for the period 1980-93. The measure of volatility produced is appropriate, given the distribution of returns and the time-varying nature of stock price volatility, and changes in monetary policy regime. The impact of futures on stock price volatility is measured within an augmented ARCH framework and the principal result is striking: rather than increasing volatility, index futures contracts are found to have reduced volatility significantly by around 17%.
Author : Satish Thosar
Publisher :
Page : 27 pages
File Size : 25,47 MB
Release : 1990
Category : Program trading (Securities)
ISBN :
Author : Torben Gustav Andersen
Publisher :
Page : 46 pages
File Size : 39,89 MB
Release : 2001
Category : Economics
ISBN :
This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying intensity. We find that any reasonably descriptive continuous-time model for equity-index returns must allow for discrete jumps as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We also find that the dominant empirical characteristics of the return process appear to be priced by the option market. Our analysis indicates a general correspondence between the evidence extracted from daily equity-index returns and the stylized features of the corresponding options market prices.
