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| Author: | Hodgson, A. Nicholls, D. |
| Title: | The impact of index futures markets on Australian sharemarket volatility |
| Journal: | Journal of Business Finance and Accounting
1990 : JAN, VOL. 18:2, p.267-280 |
| Index terms: | FUTURES MARKETS AUSTRALIA SHARES TIME SERIES SECURITIES |
| Language: | eng |
| Abstract: | The Australian sharemarket has, in recent years, gone through a period of high volatility. Some commentators have suggested that two factors contributing to this high and destabilising volatility are the introduction of trading in index futures and index futures options. Time series techniques are used to analyse sharemarket volatility before and after trading began in these derivative securities to determine their impact, if any, on the spot sharemarket index. No statistical evidence is detected to support a destabilising hypothesis. |
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