Derivative securities and cash market stability

Does the Introduction of Futureson Emerging Market Currencies Destabilize the Underlying Currencies?

“…Using event studies to test whether the introduction of a futures market changes the volatility of the underlying (where volatility is defined as the unconditional variance of the percentage price change in daily spot prices as well as a variance estimator using intraday high and low prices), he is unable to reject the null hypothesis of no change. The same result is reported by Ely (1991), who employs a varying parameter technique to detect changes in the underlying demand and supply of the cash market instruments when futures contracts are introduced.…”

Information revelation in the futures market: Evidence from single stock futures

“…6 With respect to the impact of SSFs 5 Although a number of the papers cited in the following pages focus on the relationship between the options and underlying security markets, similar arguments can be made for the relationship between the futures and underlying security markets. 6 For example, see Powers (1970), Figlewski (1981), Moriarty and Tosini (1985), Aggarwal (1988), Harris (1989), Damodaran (1990), Baldauf and Santoni (1991), Ely (1991), Hodgson and Nicholls (1991), Bessembinder and Seguin (1992), Kamara, Miller, and Siegel (1992), Jegadeesh and Subrahmanyam (1993), Choi and Subrahmanyam (1994), Robinson (1994), Antoniou and Holmes (1995), Chatrath, Ramchander, and Song (1996), Antoniou, Holmes, and Priestley (1998), Edwards (1988aEdwards ( , 1988b, Jochum and Kodres (1998), Kan and Tang (1999), Butterworth (2000), Gulen and Mayhew (2000), Darrat, Rahman, and Zhong (2002), and Jones and Brooks (2005).…”

Options on federal funds futures and interest rate volatility

“…Becketti and Roberts () find that the stock market volatility did not increase due to futures trading. Ely () finds that the listing of interest rate futures has no effect on the underlying markets. Overall, the evidence is mixed.…”