The Experts below are selected from a list of 297 Experts worldwide ranked by ideXlab platform
Phil Holmes - One of the best experts on this subject based on the ideXlab platform.
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The effects of stock index Futures Trading on stock index volatility: An analysis of the asymmetric response of volatility to news
Journal of Futures Markets, 1998Co-Authors: Antonios Antoniou, Phil Holmes, Richard PriestleyAbstract:The asymmetric response of volatility to news has been attributed to leverage effects, but the authors show that noise Trading is an important contributor to asymmetric effects. Contrary to the traditional view, introducing Futures Trading has no detrimental impact on the underlying markets. Futures Trading improves market dynamics in processing news by transferring noise Trading from spot to Futures markets.
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Spot price volatility, information and Futures Trading: evidence from a thinly traded market
Applied Economics Letters, 1996Co-Authors: Phil HolmesAbstract:The impact of Futures Trading on spot volatility is examined for a thinly traded contract, the FTSE Eurotrack. Futures Trading increases the rate at which information is impounded into prices and reduces persistence. These benefits cease after the suspension of Trading. The results suggest that even in a thinly traded market the existence of Futures has a beneficial impact on price discovery in the underlying spot market. The paper highlights the need to determine not only whether spot price volatility changes after the introduction of Futures Trading, but also, if it does, why it does, before drawing policy conclusions about the regulation of Futures markets. Failure to address the latter issue may lead to inappropriate policy conclusions.
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Futures Trading information and spot price volatility evidence for the ftse 100 stock index Futures contract using garch
Journal of Banking and Finance, 1995Co-Authors: Antonios Antoniou, Phil HolmesAbstract:Abstract This paper examines the impact of Trading in the FTSE-100 Stock Index Futures on the volatility of the underlying spot market. To examine the relationship between information and volatility (as subject neglected in previous studies) the GARCH family of techniques is used. The results suggest that Futures Trading has led to increased volatility, but that the nature of volatility has not changed post-Futures. The finding of price changes being integrated pre-Futures, but being stationary post-Futures, implies that the introduction of Futures has improved the speed and quality of information flowing to the spot market.
Sathya Swaroop Debasish - One of the best experts on this subject based on the ideXlab platform.
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An empirical study on impact of index Futures Trading on spot market in india
KCA Journal of Business Management, 2010Co-Authors: Sathya Swaroop DebasishAbstract:In this paper, an attempt is made to investigate the effect of Futures Trading on the volatility and operating efficiency of the underlying Indian stock market by taking a sample of selected individual stocks. Specifically, the study examines whether the index Futures Trading in India has caused a significant change in spot price volatility of the underlying stocks and how the index Futures Trading has affected market/Trading efficiency in the Indian Futures and stock markets. The effect of the introduction of Futures Trading is examined using an extended period of June 1995 to May 2009.We employ an event study approach to test whether the introduction of index Futures Trading has resulted in significant change in volatility and efficiency of the stock returns. The study compares spot price volatility changes before and after Futures Trading is introduced in the stock indices. The result shows that the introduction of Nifty index Futures Trading in India is associated with both reduction in spot price volatility and reduced Trading efficiency in the underlying stock market. The results of this study suggest that there is a trade-off between gains and costs associated with the introduction of derivatives Trading at least on a short-term perspective. This paper offers a unique contribution in examining the impact of introduction of index Futures Trading in NSE Nifty index and the index Futures covering a period since introduction of index Futures in Indian Capital Market. The results suggest that the market would have to pay a certain price, such as a loss of market efficiency for the sake of market stabilization. Hence, a desirable market policy for derivatives Trading would be one that would preserve market stabilization while still not damaging market efficiency in the underlying spot market. Key Words: Futures, Financial Engineering, NSE Nifty, Event study, Market Efficiency.
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Effect of Futures Trading on the stability of stock index returns: a case of BSE Sensex
International Journal of Monetary Economics and Finance, 2009Co-Authors: Sathya Swaroop DebasishAbstract:This paper attempts an to investigate the effect of Futures Trading on the stability of returns on BSE Sensex by using daily observations from January 1996 to December 2007. Three statistical tests namely, Kolmogorov Smirnov 2-sample test, Wilcoxon Rank Sum test and Goldfeld Quandt tests are used. The study found that higher volatility of daily returns in post-Futures period than in the pre-Futures period but the volatility of monthly returns remained unchanged. Apart from the months May 2004 and May 2006, there is no evidence that monthly BSE Sensex volatility has increased after inception of the Futures Trading.
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Effect of Futures Trading on spot price volatility: evidence for NSE Nifty using GARCH
Afro-Asian J. of Finance and Accounting, 2008Co-Authors: Sathya Swaroop DebasishAbstract:This study aims to study the impact of the introduction of Nifty index Futures on the volatility of the Indian spot markets using data from April 1997 to April 2007. The study considered six measures of volatility, dynamic linear regression models and the GARCH models to investigate volatility in NSE Nifty prices, both before and after the onset of Futures Trading. The study confirmed no structural change after the introduction of Futures Trading on Nifty and found that, whilst the pre-Futures sample was integrated, the post-Futures sample was stationary. Spot returns volatility is found to be less important in explaining spot returns after the advent of Futures Trading in NSE Nifty.
Shantaram P. Hegde - One of the best experts on this subject based on the ideXlab platform.
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The Impact of Futures Trading on the Spot Market for Treasury Bonds
The Financial Review, 1994Co-Authors: Shantaram P. HegdeAbstract:Critics of Futures markets contend that Futures Trading destabilizes spot prices and raises price levels of the underlying treasury bonds, while the proponents claim that Futures Trading improves the information content and stability of spot prices. To investigate these conflicting viewpoints, this paper examines the price behavior of treasury bonds at three critical time points: a) as they enter, retain, and exit the cheapest-to-deliver status; b) as they approach the Futures delivery date; and, c) as they cease to be deliverable. An empirical analysis based on a rich data set of daily bond prices over thirty-four delivery quarters reveals little support for the critics’ view of Futures Trading.
Keqin Li - One of the best experts on this subject based on the ideXlab platform.
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Parallel Techniques for Large Data Analysis in the New Version of a Futures Trading Evaluation Service
Big Data Research, 2015Co-Authors: Xiaoyun Zhou, Keqin LiAbstract:Abstract A Futures Trading evaluation system is used to help investors analyze their Trading history and find out the root cause of profit and loss, so that investors can learn from their past and make better decisions in the future. To analyze Trading history of investors, the system processes a large volume of transaction data to calculate key performance indicators (KPI) as well as time series behavior patterns, and concludes some recommendations with the help of an expert knowledge base. This work is based on our early work of parallel techniques for large data analysis for Futures Trading evaluation service. In our early work, we have used the query rewriting technique to avoid joining between fact table and dimension table for OLAP aggregation queries, and used a data driven shared scanning of data method to compute KPIs for one customer. However, the query rewriting technique cannot eliminate joining for queries which aggregate on an intermediate level of the hierarchy of a dimensional table, so we propose a segmented bit encoding of dimensional table method which can eliminate the joining operation when the query aggregates on any level of the hierarchy of any dimensional table. Furthermore, our previous method perform badly when concurrency is high, so we propose an inter customer data scan sharing scheme to improve system performance in highly concurrent situations. We present our new experimental results.
Gikas Manalis - One of the best experts on this subject based on the ideXlab platform.
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Futures Trading and market microstructure of the underlying security: A high frequency experiment at the single stock future level
Borsa Istanbul Review, 2013Co-Authors: Kate Phylaktis, Gikas ManalisAbstract:This paper examines the differences in volume, volatility and liquidity in the underlying market between intervals when Futures trade and intervals when there is no Futures Trading using high frequency proprietary data. We find that although the bid-ask spreads decrease, this is not due to a fall in information asymmetries and a fall in the adverse selection costs. We find supporting evidence that the fall in the spread could be due to lower inventory holding costs as a result of lower depth when Futures trade. We also find volatility to increase when Futures trade accompanied by increases in Trading volume supporting the scenario that institutional investors take large positions in both derivative and the underlying markets creating price pressures. This paper has indicated that market quality might not necessarily improve with Futures Trading, in contrast to the results of previous studies, which applied a pre-post Futures listing analysis and used lower frequency data.
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Futures Trading and Market Microstructure of the Underlying Security: A High Frequency Experiment at the Single Stock Future Level
SSRN Electronic Journal, 2008Co-Authors: Kate Phylaktis, Gikas ManalisAbstract:This paper examines the differences in volume, volatility and liquidity during intervals when Futures trade with those in which they do not trade using high frequency data. We find that order flow in the cash market increases when Futures trade, but at the same time we find volatility to increase too. Although the bid-ask spread is reduced when Futures trade, the decomposition of the spread indicates that this is not due to a fall in the adverse selection component, which represents information asymmetries. In fact, the results show that market depth is also reduced when Futures trade, which supports the view that the tightening of the spread could be due to a fall in inventory holding costs. This paper has indicated that market quality might not necessarily improve with Futures Trading.
