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| Author | : Dong-chun Lim |
| Publisher | : |
| Total Pages | : 290 |
| Release | : 1996 |
| Genre | : Stock exchanges |
| ISBN | : |
| Author | : Ersan Ersoy |
| Publisher | : |
| Total Pages | : 18 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. However, due to market imperfections, one of these markets may reflect information faster than the other and therefore may lead to the other. This study examines the lead-lag relationship between stock index and stock index futures, in terms of both price and volatility, by using 5 minute data over 2007-2010 period. The findings of this study indicate that a stable long-term relationship between Turkish stock index and stock index futures exists, however stock index futures do not lead stock index and there is a two way interaction between them. Therefore either of the markets is dominant over the other one in the price formation process.
| Author | : Jaeram Lee |
| Publisher | : |
| Total Pages | : |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
This study illuminates the difference in the intraday return-volume relationships of spot and index futures. The quantile regression analyses show that the widening effect of the spot trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the futures trading volume on the distribution of spot returns remains over the relatively long term. The short-term effect of the spot volume and the long-term effect of the futures volume are consistent for trading volume shocks. The findings suggest that the spot volume is primarily induced by the demand for hedging or differences of opinion, whereas the futures volume contains information about price movements.
| Author | : James L. Grant |
| Publisher | : |
| Total Pages | : |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
This paper gives a long-term assessment in intraday prices reversal in the US stock index futures market following large price changes at the market open, We find highly significant intraday reversal in our yearly and day-of-the-week investigations. Moreover, the strength of the intraday overreaction phenomenon seems more pronounced following large positive price changes at the market open. That being said, the question of whether a trader con consistently profit from this information remains open at the significance of intraday price reversals is sharply reduced when gross trading results are adjusted by a bid-ask proximity for transactions costs.
| Author | : Juan Angel Lafuente Luengo |
| Publisher | : |
| Total Pages | : 21 |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
| Author | : Shi Yun Wang |
| Publisher | : |
| Total Pages | : 172 |
| Release | : 1997 |
| Genre | : Futures market |
| ISBN | : |
| Author | : Juan A. Lafuente |
| Publisher | : |
| Total Pages | : 21 |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
| Author | : Abhay Abhyankar |
| Publisher | : |
| Total Pages | : |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
This paper uses a data set consisting of a complete history of all transactions and quotes to examine intraday patterns in trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We also document a number of regularities in the pattern of daily returns and volatility of the cash index. Finally, we document intraday patterns in the basis, i.e. the contemporaneous difference between the futures price and the underlying cash index level. In general, we find returns vary somewhat over the day, reflecting in particular the influence of the US market openings in early afternoon London-time. We find that, while both volume and volatility exhibit a U-shaped pattern over the day, movements in the spread tend if anything to follow the opposite pattern. As far as consistency with the best-known microstructure models is concerned, our results are more supportive of the Brock and Kleidon (1992) market closures model than the Admati and Pfleiderer (1988) noise- trading model.
| Author | : Melissa Danielle Davis |
| Publisher | : |
| Total Pages | : 44 |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
| Author | : |
| Publisher | : |
| Total Pages | : 848 |
| Release | : 1999 |
| Genre | : Dissertation abstracts |
| ISBN | : |
