Determinants of Trading Volume in Futures Markets
Author | : Terrence F. Martell |
Publisher | : |
Total Pages | : 15 |
Release | : 1987 |
Genre | : |
ISBN | : |
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Author | : Terrence F. Martell |
Publisher | : |
Total Pages | : 15 |
Release | : 1987 |
Genre | : |
ISBN | : |
Author | : Terrence F. Martell |
Publisher | : |
Total Pages | : 28 |
Release | : 1985 |
Genre | : Commodity exchanges |
ISBN | : |
Author | : Christopher Lee Parrish |
Publisher | : |
Total Pages | : 90 |
Release | : 1997 |
Genre | : Foreign exchange futures |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : 49 |
Release | : 2006 |
Genre | : |
ISBN | : |
Author | : Jędrzej Białkowski |
Publisher | : |
Total Pages | : |
Release | : 2017 |
Genre | : |
ISBN | : |
"A number of exchanges around the world have attempted to introduce single-stock futures, but only a few have succeeded. We argue that this situation can be attributed to the use of inadequate selection criteria for the underlyings. Therefore, our paper investigates the determinants of trading activity on the Eurex derivative exchange and looks beyond systematic reasons extensively examined in prior research. It is found that trading activity is higher for single-stock futures on stock characterized by low institutional ownership and high volume and volatility on the spot market. The mispricing between the spot and futures markets also attracts investors to the single-stock futures market. Moreover, factors such as the size of contract, tick size, and age of contract on a particular stock significantly contribute to the increase of open interest and traded volume. Furthermore, evidence is found that single-stock futures become more efficiently priced around an ex-dividend date for the underlying stock. This is due to dividend stripping trading which allows a reduction in the tax burden. Our findings have important implications for investors who have an interest in that segment of the derivatives market. These implications should also be taken into consideration by market regulators and tax authorities. Keywords: Happiness, Single-stock futures; Futures market efficiency; Listing selection, Short sale"--Page [ii].
Author | : Avanidhar Subrahmanyam |
Publisher | : |
Total Pages | : 276 |
Release | : 1990 |
Genre | : Financial futures |
ISBN | : |
Author | : Jedrzej Pawel Bialkowski |
Publisher | : |
Total Pages | : |
Release | : 2019 |
Genre | : |
ISBN | : |
A number of exchanges around the world have attempted to introduce single-stock futures, but only a few have succeeded. We argue that this situation can be attributed to the use of inadequate selection criteria for the underlyings. Therefore, our paper investigates the determinants of trading activity on the Eurex derivative exchange and looks beyond systematic reasons extensively examined in prior research. It is found that trading activity is higher for single-stock futures on stock characterized by low institutional ownership and high volume and volatility on the spot market. The mispricing between the spot and futures markets also attracts investors to the single-stock futures market. Moreover, factors such as the size of contract, tick size, and age of contract on a particular stock significantly contribute to the increase of open interest and traded volume. Furthermore, evidence is found that single-stock futures become more efficiently priced around an ex-dividend date for the underlying stock. This is due to dividend stripping trading which allows a reduction in the tax burden. Our findings have important implications for investors who have an interest in that segment of the derivatives market. These implications should also be taken into consideration by market regulators and tax authorities.
Author | : Babu Jose |
Publisher | : LAP Lambert Academic Publishing |
Total Pages | : 132 |
Release | : 2013 |
Genre | : |
ISBN | : 9783659326042 |
Futures Market movement always depends on the fluctuation of the spot market. Elements of the futures market such as Open Interest, Trade volume, Volatility of futures return and Turn over are having direct link with futures return. Underlying Market return is the major influencing factor of the futures market, but the uncertain events of the futures market can be explained by observing the different relation ships of variables in the futures market.Market Depth, Market Volatility and market Trends are having causal relationship with futures return. Market responses and reflections are explained by the study with the help of econometric models like VAR Granger Causality/Block Exogeniety test, Impulse Response Function and Variance Decomposition.Indian stock and derivative markets are so speculative and volatile, the prediction of the movement is very difficult. Daily return series of S&P CNX Nifty and its underlying index from 2000 to 2010 are taken for the analysis. The whole study period is divided in to five stages as per the market movement and structural break of the data series. The empirical results of the study reveals the determinants of the futures market in India.
Author | : Lucy F. Ackert |
Publisher | : South Western Educational Publishing |
Total Pages | : 0 |
Release | : 2010 |
Genre | : Investments |
ISBN | : 9780538752862 |
The book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors then move into psychological principles of behavioral finance, including heuristics and biases, overconfidence, emotion and social forces. You immediately see how human behavior influences the decisions of individual investors and professional finance practitioners, managers, and markets. You also gain a strong understanding of how social forces impact individuals' choices. The book clearly explains what behavioral finance indicates about observed market outcomes as well as how psychological biases potentially impact the behavior of managers. The book's solid academic approach provides opportunities for you to utilize theory and complete applications in every chapter as you learn the implications of behavioral finance on retirement, pensions, education, debiasing, and client management. The book spends a significant amount of time examining how today's practitioners can use behavioral finance to further their professional success.
Author | : Brian K. Johnson |
Publisher | : |
Total Pages | : 160 |
Release | : 1988 |
Genre | : Futures market |
ISBN | : |