Macroeconomic news surprises, volume and volatility relationship in index futures market

Nexus between Remittance, Nonperforming Loan, Money Supply, and Financial Volatility: An Application of ARDL

“…FDV vs. DBD: This study finds a positive relationship between DBD and financial volatility, but the impact is not significant as the coefficient value is close to 0.007 only, which also indicates that a 100% increase or decrease in DBD will increase or decrease the financial volatility by 0.7% successively. A similar positive relationship has been found in the study of Banerjee et al (2019). However, this finding is not consistent with the finding of DCP or it can stated that it provides a contradictory result comparing with DCP.…”

“…This finding is consistent with Okech and Mugambi (2016); Okoro (2017). However, the opposite result has been found from different studies like (Banerjee et al, 2019;Feng et al, 2017;Ferreira, 2016;Zhou et al, 2015).…”

“…Few researchers use one particular section of domestic credit basis on financial institutions. Two researchers (Banerjee, Pradhan, Tripathy, & Kanagaraj, 2019) worked only on banking institutions that provide domestic credit. In their study, they find that domestic credit supplied by banking institutions has a positive and strong effect on stock market volatility both in the long and short run.…”

Futures market and the contagion effect of COVID-19 syndrome

“…Against the popularly used spot markets, this paper uses the futures markets. As it is well-documented in the literature that the futures market disseminates information faster into the prices than the spot market and hence aid in effective price discovery and thus serve as a better representative for asset markets ( Banerjee et al., 2020 ; Bohl et al., 2011 ; Wu et al., 2005 ; Xu and Wan, 2015 ).…”

Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity

“…According to the studies that show that underlying market dynamics such as return and volatility dynamics significantly shape market liquidity (Bessembinder & Seguin, 1992;Gulen & Mayhew, 2000;Morris & Shin, 2004), we control for the KOSPI 200 market index returns (MktRet t ), the square root of the aggregate equity trading volume (MktVolSq t ), the return of options-implied volatility (ImpVol t ). Considering the effect of international commonality among futures markets and macroeconomic fluctuations on futures market liquidity (Banerjee et al, 2020;Elder et al, 2012;Frino, Mollica, & Zhou, 2014), we also control for the USD/KRW exchange rate returns (Exch t ), the credit spread (CredSpr t ), the term spread (TermSpr t ). Lastly, to account for the regulatory or policy-relevant shocks (Chou et al, 2015), we incorporate the economic policy uncertainty index returns (EPU t ) into the model.…”