S&P 500 Index Futures Volatility and Price Around the NYSE Close PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download S&P 500 Index Futures Volatility and Price Around the NYSE Close PDF full book. Access full book title S&P 500 Index Futures Volatility and Price Around the NYSE Close by Eric C. Chang. Download full books in PDF and EPUB format.
Author: Eric C. Chang
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
We examine the effects of the closing of the NYSE on volatility and price changes in the Samp;P futures market, which trades for 15 more minutes each day. When the NYSE closes, volatility in the futures market drops significantly, only to increase at the close of the futures market, thus exhibiting a U-shaped pattern after the NYSE closes. We also find that Friday's close is the period of highest volatility in the futures market. Also, in the final minutes on Friday, the Samp;P futures price anticipates the well-known weekend effect found in equities.
Author: Eric C. Chang
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
We examine the effects of the closing of the NYSE on volatility and price changes in the Samp;P futures market, which trades for 15 more minutes each day. When the NYSE closes, volatility in the futures market drops significantly, only to increase at the close of the futures market, thus exhibiting a U-shaped pattern after the NYSE closes. We also find that Friday's close is the period of highest volatility in the futures market. Also, in the final minutes on Friday, the Samp;P futures price anticipates the well-known weekend effect found in equities.
Author:
Publisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 32
Get Book Here
Book Description
Author: Charles M.S. Sutcliffe
Publisher: Routledge
ISBN: 1351148559
Category : Business & Economics
Languages : en
Pages : 534
Get Book Here
Book Description
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: New York Stock Exchange. Market Volatility and Investor Confidence Panel
Publisher:
ISBN:
Category : Program trading (Securities)
Languages : en
Pages : 396
Get Book Here
Book Description
Author: Lawrence Harris
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 50
Get Book Here
Book Description
Author: Florian Auinger
Publisher: Springer
ISBN: 3658089695
Category : Business & Economics
Languages : en
Pages : 102
Get Book Here
Book Description
Florian Auinger highlights the core weaknesses and sources of criticism regarding the VIX Index as an indicator for the future development of financial market volatility. Furthermore, it is proven that there is no statistically significant causal relationship between the VIX and the S&P 500. As a consequence, the forecastability is not given in both directions. Obviously, there must be at least one additional variable that has a strong influence on market volatility such as emotions which, according to financial market experts, are considered to play a more and more important role in investment decisions.
Author: United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 164
Get Book Here
Book Description
Author: George H. K. Wang
Publisher:
ISBN:
Category : Futures market
Languages : en
Pages : 66
Get Book Here
Book Description
Author: Yin-Wong Cheung
Publisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 46
Get Book Here
Book Description
Author: G.P. Dwyer
Publisher: Springer Science & Business Media
ISBN: 9401578818
Category : Business & Economics
Languages : en
Pages : 206
Get Book Here
Book Description
Gerald P. Dwyer, Jr. and R. W. Hafer The articles and commentaries included in this volume were presented at the Federal Reserve Bank of St. Louis' thirteenth annual economic policy conference, held on October 21-22, 1988. The conference focused on the behavior of asset market prices, a topic of increasing interest to both the popular press and to academic journals as the bull market of the 1980s continued. The events that transpired during October, 1987, both in the United States and abroad, provide an informative setting to test alter native theories. In assembling the papers presented during this conference, we asked the authors to explore the issue of asset pricing and financial market behavior from several vantages. Was the crash evidence of the bursting of a speculative bubble? Do we know enough about the work ings of asset markets to hazard an intelligent guess why they dropped so dramatically in such a brief time? Do we know enough to propose regulatory changes that will prevent any such occurrence in the future, or do we want to even if we can? We think that the articles and commentaries contained in this volume provide significant insight to inform and to answer such questions. The article by Behzad Diba surveys existing theoretical and empirical research on rational bubbles in asset prices.
