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The effects of stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news
0 references·16 citing·48 second hopsampled
The effects of stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news (1998)The effects of stock index futures tradin…The linkages between oil market uncertainty and Islamic stock markets: Evidence from quantile-on-quantile approach (2020)The linkages between oil mark…Information availability and return volatility in the bitcoin Market: Analyzing differences of user opinion and interest (2019)Information availability and …The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns (2014)The impact of the CSI 300 sto…The impact of natural events and disasters on the Australian stock market: a GARCH-M analysis of storms, floods, cyclones, earthquakes and bushfires (2008)The impact of natural events …The impact of futures trading on volatility of the underlying asset in the Turkish stock market (2008)The impact of futures trading…The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach (2008)The dynamics of a nonlinear r…The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market (2006)The effect of derivatives tra…The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange (2004)The impact of the introductio…Index futures and positive feedback trading: evidence from major stock exchanges (2004)Index futures and positive fe…Over-the-counter forward contracts and spot price volatility in shipping (2003)Over-the-counter forward cont…Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis (2003)Modelling International Price…Intraday Return Volatility Process: Evidence from NASDAQ Stocks (2002)Intraday Return Volatility Pr…Does derivatives trading destabilize the underlying assets? Evidence from the Spanish stock market (2002)Does derivatives trading dest…The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks (2001)The Introduction of Derivativ…New insights into the impact of the introduction of futures trading on stock price volatility (2001)New insights into the impact …Stock index futures trading and volatility in international equity markets (2000)Stock index futures trading a…An Intertemporal Capital Asset Pricing Model (1973)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets (2008)Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries (2013)Does investor sentiment really matter? (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market (2013)The lead–lag relationship between stock index and stock index futures: A thermal optimal path method (2015)Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction (2020)An Exposure-Based Analysis of Property-Liability Insurer Stock Values around Hurricane Andrew (1995)Economic Lessons of the Kobe Earthquake (2000)DO NATURAL DISASTERS PROMOTE LONG‐RUN GROWTH? (2002)The Impact of Natural Disasters on Stock Markets: Evidence from Japan and the US (2013)Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns? (2019)Climate change-induced firms’ initiatives and investors’ perceptions: evidence from Bursa Malaysia (2023)Prices of State-Contingent Claims Implicit in Option Prices (1978)Threshold heteroskedastic models (1994)Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach (2012)Futures Trading, Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures (2012)Comparing Predictive Accuracy (1994)Threshold Cointegration (1997)Investigating the price discovery and risk transfer functions in the crude oil and gasoline futures markets: Some empirical evidence (2012)Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test (2014)Research on patterns in the fluctuation of the co-movement between crude oil futures and spot prices: A complex network approach (2014)Informational Externalities and Welfare-Reducing Speculation (1987)Measuring and Testing the Impact of News on Volatility (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Index Futures Trading and Spot Price Volatility (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Futures Trading Activity and Commodity Cash Price Volatility (2005)Asset prices under short-sale constraints (2006)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Financial globalization and stock market risk (2011)Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach (2018)A test for independence based on the correlation dimension (1996)Oil price shocks and stock market activity (1999)Oil prices, US stock return, and the dependence between their quantiles (2015)Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities? (2020)Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression (2020)Impacts of geopolitical risks and economic policy uncertainty on Chinese tourism‐listed company stock (2020)Testing for a Unit Root in Time Series Regression (1988)Time-varying copula models in the shipping derivatives market (2016)Dynamics and interdependencies among different shipping freight markets (2018)Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model (2020)
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  • 2004Index futures and positive feedback trading: evidence from major stock exchanges176 cited
  • 2000Stock index futures trading and volatility in international equity markets175 cited
  • 2020The linkages between oil market uncertainty and Islamic stock markets: Evidence from quantile-on-quantile approach141 cited
  • 2001New insights into the impact of the introduction of futures trading on stock price volatility89 cited
  • 2008The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach88 cited
  • 2003Over-the-counter forward contracts and spot price volatility in shipping84 cited
  • 2008The impact of natural events and disasters on the Australian stock market: a GARCH-M analysis of storms, floods, cyclones, earthquakes and bushfires77 cited
  • 2002Does derivatives trading destabilize the underlying assets? Evidence from the Spanish stock market71 cited
  • 2006The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market69 cited
  • 2008The impact of futures trading on volatility of the underlying asset in the Turkish stock market68 cited
  • 2019Information availability and return volatility in the bitcoin Market: Analyzing differences of user opinion and interest65 cited
  • 2003Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis

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61 cited
  • 2001The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks59 cited
  • 2014The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns58 cited
  • 2004The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange55 cited
  • 2002Intraday Return Volatility Process: Evidence from NASDAQ Stocks54 cited