Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Intraday Return And Volatility Relationships Between The Ibex 35 Stock Index And Stock Index Futures Markets PDF full book. Access full book title Intraday Return And Volatility Relationships Between The Ibex 35 Stock Index And Stock Index Futures Markets.
| Author | : Juan A. Lafuente |
| Publisher | : |
| Total Pages | : 21 |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
| Author | : Juan Angel Lafuente Luengo |
| Publisher | : |
| Total Pages | : 21 |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
| Author | : Juan A. Lafuente |
| Publisher | : |
| Total Pages | : 21 |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
| Author | : Huseyin Gulen |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 1999 |
| Genre | : |
| ISBN | : |
| Author | : Jeng-Hong Chen |
| Publisher | : |
| Total Pages | : 14 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
After the Debt Ceiling Bill was passed on August 2, 2011, the S&P 500 index returns volatility increased significantly until the end of 2011. This research investigates the return volatility movements in S&P 500 spot index and index futures markets, the lead/lag relationship between two markets, and the effect of volatility on the trading costs using year 2011 intraday data. The analyses of intraday data show the following results during the higher volatility period (8/3/2011-12/30/2011): First, the difference of return variances between index futures and spot index is even greater than that during the lower volatility period. Second, the index futures market leads the spot index market and the interaction between both markets becomes stronger. Third, both index futures and spot index exhibit clearer U-shape intraday pattern of return volatilities. Finally, the trading costs, measured by the bid-ask spreads, are significantly larger.
| Author | : Charles M.S. Sutcliffe |
| Publisher | : Routledge |
| Total Pages | : 534 |
| Release | : 2018-01-18 |
| Genre | : Business & Economics |
| ISBN | : 1351148559 |
The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
| 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 | : Ka-Keung Ceajer Chan |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 1990 |
| Genre | : Stock index futures |
| ISBN | : |
| Author | : Joseph E. Finnerty |
| Publisher | : |
| Total Pages | : 12 |
| Release | : 1986 |
| Genre | : |
| ISBN | : |
| Author | : Compiled by the British Library of Political and Economic Science |
| Publisher | : Routledge |
| Total Pages | : 675 |
| Release | : 2013-05-13 |
| Genre | : Business & Economics |
| ISBN | : 1134340036 |
First published in 1952, the International Bibliography of the Social Sciences (anthropology, economics, political science, and sociology) is well established as a major bibliographic reference for students, researchers and librarians in the social sciences worldwide. Key features * Authority: Rigorous standards are applied to make the IBSS the most authoritative selective bibliography ever produced. Articles and books are selected on merit by some of the world's most expert librarians and academics. *Breadth: today the IBSS covers over 2000 journals - more than any other comparable resource. The latest monograph publications are also included. *International Coverage: the IBSS reviews scholarship published in over 30 languages, including publications from Eastern Europe and the developing world. *User friendly organization: all non-English titles are word sections. Extensive author, subject and place name indexes are provided in both English and French. Place your standing order now for the 2003 volumes of the the IBSS Anthropology: 2002 Vol.48 December 2003: 234x156: Hb: 0-415-32634-6: £195.00 Economics: 2002 Vol.51 December 2003: 234x156: Hb: 0-415-32635-4: £195.00 Political Science: 2002 Vol.51 December 2003: 234x156: Hb: 0-415-32636-2: £195.00 Sociology: 2002 Vol.52 December 2003: 234x156: Hb: 0-415-32637-0: £195.00
