haku: @author Sutcliffe, C. / yhteensä: 11
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| Tekijä: | Board, J. Sandmann, G. Sutcliffe, C. |
| Otsikko: | The Effect of Futures Market Volume on Spot Market Volatility |
| Lehti: | Journal of Business Finance and Accounting
2001 : VOL. 28:7-8, p. 799-820 |
| Asiasana: | FUTURES MARKETS STOCK MARKETS FINANCE |
| Kieli: | eng |
| Tiivistelmä: | There has been considerable interest, both a cad emir and regulatory, in the hypothesis that the higher is the volume in the futures market, the greater is the destabilizing effect on the stock market. The authors show that conventional approaches, such as adding exogenous variables to GARCH models, may lead to false inferences in tests of this question. Using a stochastic volatility model, the authors show that, contrary to regulatory concern and the results of other papers, contemporaneous informationless futures market trading has no significant effect on spot marker volatility. |
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