Index Future Trading, Spot Volatility And Market Efficiency

Zonghao, Chen

doi:10.20547/jms.2014.1401201

Cited by 3 publications

(2 citation statements)

References 34 publications

(45 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Poon and Granger (2003) show that the accuracy of the realized estimate increases with the number of returns (or the sampling rate) computed at higher frequency. Proof of this proposition can also be found in (Barndorff-Nielsen & Shephard, 2002;Chen, 2014). This means that given high-frequency data availability, the latent volatility process is plausibly observable.…”

Section: Introductionmentioning

confidence: 72%

Estimating Financial Volatility with High-Frequency Returns

Vo¹

2017

j.financ.econ.res

View full text Add to dashboard Cite

The primary value of a time series model lies in its ability to provide reliable approximations of the modelled variable, both in-sample (where data are used to estimate model parameters) and out-of-sample (where the model is updated with new information and produces forecasts). In this paper, an overview of the various models in the GARCH family is followed by their application in estimating the daily volatility of Citigroup Inc., a major player in the US subprime mortgage crisis. Fitting these estimates to the ex-post realized volatility measure constructed from high-frequency returns provides superior goodness-of-fit than fitting them to the conventional absolute returns measure. This suggests that when modelling latent financial volatility, information revealed by high-frequency data can greatly enhance GARCH estimates' performance.

show abstract

Section: Introductionmentioning

confidence: 72%

Estimating Financial Volatility with High-Frequency Returns

Vo¹

2017

j.financ.econ.res

View full text Add to dashboard Cite

show abstract

“…In addition, some research studies ﬁnds no signiﬁcant impact of the introduction of futures markets on the volatility of the underlying at all, or the direction of the impact is uncertain (Board et al , 2001; Santoni, 1987; Pericli and Koutmos, 1997; Darrat et al , 2002; Spyrou, 2005; Bohl et al , 2011; Xie and Huang, 2014; Bohl et al , 2016). Besides, there are some empirical studies taking multiple countries as objects of study, such as performed by Lee and Ohk (1992), Gulen and Mayhew (2000), Yu (2001), Antoniou et al (2005), and Chen (2014); the result indicates that the influence of stock index futures on the volatility of spot market varies in different countries and at different times.…”

Section: Literature Reviewmentioning

confidence: 99%

The spillover effect between CSI 500 index futures market and the spot market

Fan

2017

CFRI

View full text Add to dashboard Cite

Purpose Focusing on the spillover effects between the CSI 500 stock index futures market and its underlying spot market during April to September 2015, the purpose of this paper is to explore whether Chinese stock index futures should be responsible for the 2015 stock market crash. Design/methodology/approach Using both linear and non-linear econometric models, this paper empirically examines the mean spillover and the volatility spillover between the CSI 500 stock index futures market and the underlying spot market. Findings The results showed the following: the CSI 500 stock index futures market has significant one-way mean spillover effect on its spot market. The volatility in CSI 500 stock index futures market also has a significant positive spillover effect on its spot stock market, and the mean value of dynamic correlation coefficient between the two market volatility is 0.4848. The spillover effect of the CSI 500 stock index futures market on the underlying spot market is significantly asymmetric, characterized by relatively moderate and slow during the period of the markets rising, yet violent and rapid during the period of the markets falling. The findings suggest that although the stock index futures itself was not the “culprit” of Chinese stock market crash in 2015, its existence indeed accelerated and exacerbated the stock market’s decline under the imperfect trading system. Originality/value Different from the existing literature mainly focusing on CSI 300 stock index futures, this paper empirically examines the impact of the introduction of CSI 500 stock index futures on 2015 Chinese stock market crash for the first time.

show abstract

The Volatility Effect of Index Futures on Stock Indices: A Research on Asian-Pacific Countries

ERASLAN

Koç

2022

EPF Journal

View full text Add to dashboard Cite

Bu çalışmanın konusunu, pay senedi endeks vadeli işlemlerinin, pay senedi endeksleri üzerindeki volatilite etkisinin analizi oluşturmaktadır. Bu çalışma, endeks vadeli işlemlerin, spot endeksler üzerindeki volatilite etkisinin yönünü tespit etmeyi amaçlamaktadır. Bu amaçla Asya-Pasifik ülkelerinden seçilmiş örneklerin yer aldığı veri seti oluşturulmuştur. Bu çalışmada, S&P/ASX 200 (Avustralya), FTSE/KLCI (Malezya), NIFTY 50 (Hindistan), TOPIX (Japonya), KOSPI 200 (Kore) endekslerinin ve bu endekslerin dayanak varlık olduğu vadeli işlem sözleşmelerinin 01 Ocak 2006 - 26 Şubat 2022 tarihleri arasındaki günlük kapanış (uzlaşma) fiyatları kullanılmıştır. Bu çalışmanın temel amacı, Asya-Pasifik ülkelerinden seçilen pay senedi endeks vadeli işlemlerinin, spot pay senedi endeksleri üzerindeki volatilite etkisinin ekonometrik yöntemlerle incelenerek, endeksler arasında karşılaştırmalar yapılması ve analiz sonuçlarının değerlendirilmesidir. Getiri ve işlem hacimlerine ilişkin volatilite tahminleri için Otoregresif Koşullu Değişen Varyans (ARCH) Modelleri kullanıldığından, pay senedi endeks vadeli işlemlerinin, spot pay senedi endeksleri üzerindeki volatilite etkisi GARCH, TARCH, EGARCH ve PARCH modelleri ile analiz edilmiştir. Uygulama aşamasında elde edilen tüm bulgular, 2006-2022 yıllarını kapsayan dönemde, endeks vadeli işlemlerin spot endeks volatilitesini azalttığını göstermiştir.

show abstract

Index Future Trading, Spot Volatility And Market Efficiency

Cited by 3 publications

References 34 publications

Estimating Financial Volatility with High-Frequency Returns

Estimating Financial Volatility with High-Frequency Returns

The spillover effect between CSI 500 index futures market and the spot market

The Volatility Effect of Index Futures on Stock Indices: A Research on Asian-Pacific Countries

Contact Info

Product

Resources

About