Index futures trading and spot price volatility

被引：14

作者：

Yu, SW ^{[1
]}

机构：

[1] Natl Taiwan Univ Sci & Technol, Dept Informat Management, Taipei 106, Taiwan

来源：

APPLIED ECONOMICS LETTERS | 2001年 / 8卷 / 03期

关键词：

D O I：

10.1080/13504850150504568

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A modified Levene statistic and a switching GARCH(1,1)-MA(1) model are employed to examine the impact of index futures contracts on the volatility of the spot market. The findings suggest that, following the introduction of index futures, the volatility of stock returns in the USA, France, Japan and Australia, rose significantly, while no significant changes in the volatility were found in the UK and Hong Kong. The different results might be attributed to macroeconomic factors and the structure of the various markets.

引用

页码：183 / 186

页数：4

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