The Effect of Futures Trading on Cash Market Volatility PDF Download
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Author: Gary Robinson
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 48
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Book Description
Author: Gary Robinson
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 48
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Book Description
Author: Gary Robinson
Publisher:
ISBN: 9781857300376
Category : Futures market
Languages : en
Pages : 32
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Book Description
Author: Allan Hodgson
Publisher:
ISBN: 9780858348332
Category : Futures
Languages : en
Pages : 21
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Book Description
Author: Al MacGartland
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
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Book Description
Author: Chandra Bhola
Publisher: Ary Publisher
ISBN: 9788798623045
Category :
Languages : en
Pages : 0
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Book Description
This study investigates the impact of futures trading on stock market volatility and hedging efficiency, focusing on the S&P CNX Nifty index and select stocks in India. By conducting a comprehensive analysis, this research aims to examine the relationship between futures trading activity and its influence on market volatility and the effectiveness of hedging strategies. The study utilizes empirical methods to evaluate the effects of futures trading on stock market volatility. It analyzes the S&P CNX Nifty index, which represents the broader market, and specific individual stocks to understand how futures trading impacts price fluctuations and overall market stability. Furthermore, the research assesses the hedging efficiency of futures contracts as risk management tools. It examines whether investors can effectively hedge their positions and reduce portfolio risk through futures trading. By evaluating the effectiveness of hedging strategies in the context of the Indian stock market, this study provides valuable insights for market participants. Overall, this study delves into the impact of futures trading on stock market volatility and hedging efficiency in India. By examining the S&P CNX Nifty index and select stocks, it aims to shed light on the relationship between futures trading and market dynamics. The findings contribute to the understanding of risk management practices and assist investors in making informed decisions related to hedging strategies in the Indian stock market.
Author: Stephen Satchell
Publisher: Springer
ISBN: 1137554177
Category : Science
Languages : en
Pages : 416
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Book Description
Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
Author: Brajesh Kumar
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
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Book Description
This study investigates the relationship between futures trading activity and spot market volatility for agricultural, metal, precious metals and energy commodities in Indian commodity derivatives market. This article contributes to the debate whether the futures trading in Indian commodity futures market stabilizes or destabilizes spot market. We explore this issue by modeling contemporaneous as well as dynamic relationship between spot volatility and futures trading activity including trading volume (speculative/day trading) and open interest (hedging). Following Bessembinder and Senguin (1992), we examine contemporaneous relationship through augmented GARCH model in which spot volatility is modeled as GARCH (1,1) process and trading activity is used as explanatory variable. We also decompose futures trading volume and open interest series into expected and unexpected component. The lead-lag relationship between spot price volatility and futures trading volume and open interest is investigated through VAR model. Granger causality tests, forecast error variance decompositions and impulse response function are used to understand the dynamic relationship between these variables. We found that both expected and unexpected futures trading volume affects contemporaneous spot volatility positively. However, in case of agricultural commodities only unexpected volume affects the contemporaneous spot volatility. Granger causality tests, forecast error variance decompositions and impulse response function confirm that the lagged unexpected volatility causes spot price volatility for all commodities. The effect of speculative/day trading activity measured by trading volume on spot market volatility is positive. However, hedging activity measured by open interest does not show significant effect on spot market volatility. We do not find any effect of spot volatility on futures trading activity for most of the commodities.
Author: David Cohen
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 135
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Book Description
There has been much concern voiced over the possible spot market volatility effects of the new financial futures markets, particularly in a study by the Federal Reserve Board and the Treasury Department regarding Treasury instrument futures markets. This study is designed to provide evidence on the spot price volatility effects of futures trading in 90-day Treasury Bills, The method of analysis is to first identify periods of time that are roughly similar in their overall capital market volatility, but differ in that one period is before TBill futures trading began and its comparable period is after TBill futures trading began. Next several econometric techniques are used to estimate models of interest rate determination. The estimation produces measures of spot TBill rate volatility for each of the comparable periods which are then used in a pairwise fashion to ascertain the spot price volatility effects of futures trading. The interest rate models come from the rather large body of macroeconomics literature dealing with the formation of interest rates. The econometric techniques span different assumptions imposed on the models and each technique provides consistent estimates of the model parameters under the stated conditions. Further, simple analysis of daily and weekly TBill rates is performed to provide continuity with studies of futures market spot price effects in other commodities. The results of all the statistical tests suggest that Treasury Bill futures trading does not increase spot market volatility during relatively stable periods of capital market activity, but is associated with increased spot Treasury Bill market volatility during times when overall capital market conditions are volatile. These results indicate that Treasury Bill futures trading alone does not increase spot market volatility, contrary to the hypothesis that simply the existence of financial futures trading destabilizes the underlying spot market.
Author: Ronald Britto
Publisher:
ISBN:
Category : Agricultural prices
Languages : en
Pages : 36
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Book Description
Author: Satyendra Singh
Publisher: World Scientific
ISBN: 981447181X
Category : Business & Economics
Languages : en
Pages : 577
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Book Description
The Handbook of Business Practices and Growth in Emerging Markets consists of a collection of specially commissioned chapters that describe the current business environment, organizational culture, consumer behavior, financial investment climate, and examples of best prevailing practices in emerging markets. It covers all the major functional areas of business — marketing, strategy, operations and finance — in all continents. The focus of each chapter is on the identification of different business issues in different emerging markets (including Asia, Africa and South America) and on the implementation of a proposed set of recommendations, using both qualitative and quantitative techniques to assist in decision-making and in improving organizational efficiency and effectiveness. Readers will also appreciate the multidimensional view of financial and non-financial performance measurement of businesses.Specifically, the goal of this research-based handbook is to provide a comprehensive guide for business students and managers by discussing a range of issues from the diverse emerging markets and enabling them to develop a strategic mindset for a market-oriented culture. Given the changing business dynamics, government policies and demands in industries, this handbook is both timely and topical.
