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| Tekijä: | Chang, E. |
| Otsikko: | Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets |
| Lehti: | Journal of Banking and Finance
1999 : MAY, VOL. 23:5, p. 727-754 |
| Asiasana: | BANKING FINANCE FUTURE |
| Kieli: | eng |
| Tiivistelmä: | The authors propose new tests to examine whether stock index futures affect stock market volatility. These tests decompose spot portfolio volatility into the cross-sectional dispersion and the average volatility of returns on the portfolio's constitent securities. The authors' tests show that for Nikkei stocks spot portfolio volatility increased and cross-sectional dispersion compared with average volatility when Nikkei futures began trading on the Osaka Securities Exchange. |
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