메뉴 건너뛰기




Volumn 21, Issue 3, 2001, Pages 237-255

New insights into the impact of the introduction of futures trading on stock price volatility

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0035589973     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/1096-9934(200103)21:3<237::AID-FUT3>3.0.CO;2-0     Document Type: Article
Times cited : (66)

References (49)
  • 1
    • 0000180277 scopus 로고
    • Futures trading, information and spot price volatility: Evidence for the FTSE-100 stock index futures contract using GARCH
    • Antoniou, A., & Holmes, P. (1995). Futures trading, information and spot price volatility: Evidence for the FTSE-100 stock index futures contract using GARCH. Journal of Banking and Finance, 19, 117-129.
    • (1995) Journal of Banking and Finance , vol.19 , pp. 117-129
    • Antoniou, A.1    Holmes, P.2
  • 2
    • 0032363231 scopus 로고    scopus 로고
    • The effects of stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news
    • Antoniou, A., Holmes, P., & Priestley, R. (1998). 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, 18, 151-166.
    • (1998) Journal of Futures Markets , vol.18 , pp. 151-166
    • Antoniou, A.1    Holmes, P.2    Priestley, R.3
  • 4
    • 84908383476 scopus 로고
    • An empirical reexamination of the impact of CBOE option initiation on the volatility and trading volume of the underlying equities: 1973-1986
    • Bansal, V., Pruitt, S., & Wei, J. K. (1989). An empirical reexamination of the impact of CBOE option initiation on the volatility and trading volume of the underlying equities: 1973-1986. Financial Review, 24, 19-29.
    • (1989) Financial Review , vol.24 , pp. 19-29
    • Bansal, V.1    Pruitt, S.2    Wei, J.K.3
  • 5
    • 0033270691 scopus 로고    scopus 로고
    • Asymmetric volatility and risk in equity markets
    • Bekaert, G., & Wu, G. (2000). Asymmetric volatility and risk in equity markets. Review of Financial Studies, 13, 1-42.
    • (2000) Review of Financial Studies , vol.13 , pp. 1-42
    • Bekaert, G.1    Wu, G.2
  • 6
    • 84993867944 scopus 로고
    • ARCH models: Properties, estimation and testing
    • Bera, A., & Higgins, M. (1993). ARCH models: Properties, estimation and testing. Journal of Economic Surveys, 7, 305-362.
    • (1993) Journal of Economic Surveys , vol.7 , pp. 305-362
    • Bera, A.1    Higgins, M.2
  • 7
    • 84993888588 scopus 로고
    • Futures-trading activity and stock price volatility
    • Bessembinder, H., & Seguin, P. (1992). Futures-trading activity and stock price volatility. Journal of Finance, 47, 2015-2034.
    • (1992) Journal of Finance , vol.47 , pp. 2015-2034
    • Bessembinder, H.1    Seguin, P.2
  • 8
    • 0040587166 scopus 로고    scopus 로고
    • A note on the impact of options on stock return volatility
    • Bollen, N. (1998). A note on the impact of options on stock return volatility. Journal of Banking and Finance, 22, 1181-1191.
    • (1998) Journal of Banking and Finance , vol.22 , pp. 1181-1191
    • Bollen, N.1
  • 9
    • 34848900983 scopus 로고
    • ARCH modelling in finance: A review of the theory and empirical evidence
    • Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992). ARCH modelling in finance: A review of the theory and empirical evidence. Journal of Econometrics, 52, 61-90.
    • (1992) Journal of Econometrics , vol.52 , pp. 61-90
    • Bollerslev, T.1    Chou, R.Y.2    Kroner, K.F.3
  • 10
    • 0000658462 scopus 로고    scopus 로고
    • Modelling and pricing long memory in stock market volatility
    • Bollerslev, T., & Mikkelsen, H. (1996). Modelling and pricing long memory in stock market volatility. Journal of Econometrics, 73, 151-184.
    • (1996) Journal of Econometrics , vol.73 , pp. 151-184
    • Bollerslev, T.1    Mikkelsen, H.2
  • 11
    • 0031505590 scopus 로고    scopus 로고
    • A comparison of futures pricing models in a new market: The case of individual share futures
    • Brailsford, T. J., & Cusack, A. J. (1997). A comparison of futures pricing models in a new market: The case of individual share futures. Journal of Futures Markets, 17, 515-541.
    • (1997) Journal of Futures Markets , vol.17 , pp. 515-541
    • Brailsford, T.J.1    Cusack, A.J.2
  • 12
    • 0000516158 scopus 로고
    • Prices of state-contingent claims implicit in option prices
    • Breeden, D., & Litzenberger, R. (1978). Prices of state-contingent claims implicit in option prices. Journal of Business, 51, 621-652.
    • (1978) Journal of Business , vol.51 , pp. 621-652
    • Breeden, D.1    Litzenberger, R.2
  • 13
    • 84978544600 scopus 로고
    • Using intraday data to test for effects of index futures on the underlying markets
    • Choi, H., & Subrahmanyam, A. (1994). Using intraday data to test for effects of index futures on the underlying markets. Journal of Futures Markets, 14, 293-322.
    • (1994) Journal of Futures Markets , vol.14 , pp. 293-322
    • Choi, H.1    Subrahmanyam, A.2
  • 14
    • 84977720952 scopus 로고
    • The price effect of option introduction
    • Conrad, J. (1989). The price effect of option introduction. Journal of Finance, 44, 487-498.
    • (1989) Journal of Finance , vol.44 , pp. 487-498
    • Conrad, J.1
  • 15
    • 0001170644 scopus 로고
    • Futures trading and market information
    • Cox, C. (1976). Futures trading and market information. Journal of Political Economy, 84, 1215-1237.
    • (1976) Journal of Political Economy , vol.84 , pp. 1215-1237
    • Cox, C.1
  • 16
    • 0001603398 scopus 로고
    • Index futures and stock market volatility
    • Damodaran, A. (1990). Index futures and stock market volatility. Review of Futures Markets, 9, 442-457.
    • (1990) Review of Futures Markets , vol.9 , pp. 442-457
    • Damodaran, A.1
  • 17
    • 0000633775 scopus 로고
    • The effects of option listing on the underlying stocks' return processes
    • Damodaran, A., & Lim, J. (1991). The effects of option listing on the underlying stocks' return processes. Journal of Banking and Finance, 15, 647-664.
    • (1991) Journal of Banking and Finance , vol.15 , pp. 647-664
    • Damodaran, A.1    Lim, J.2
  • 18
    • 0010929308 scopus 로고
    • The effects of derivative securities on the markets for the underlying assets in the United States: A survey
    • Damodaran, A., & Subrahmanyam, M. (1992). The effects of derivative securities on the markets for the underlying assets in the United States: A survey. Financial Markets, Institutions and Instruments, 1-21.
    • (1992) Financial Markets, Institutions and Instruments , pp. 1-21
    • Damodaran, A.1    Subrahmanyam, M.2
  • 19
    • 0002441919 scopus 로고
    • Does futures trading increase stock market volatility?
    • Edwards, F. (1988a). Does futures trading increase stock market volatility? Financial Analysts Journal, 44, 63-69.
    • (1988) Financial Analysts Journal , vol.44 , pp. 63-69
    • Edwards, F.1
  • 20
    • 84978552226 scopus 로고
    • Futures trading and cash market volatility: Stock index and interest rate futures
    • Edwards, F. (1988b). Futures trading and cash market volatility: Stock index and interest rate futures. Journal of Futures Markets, 8, 421-439.
    • (1988) Journal of Futures Markets , vol.8 , pp. 421-439
    • Edwards, F.1
  • 21
    • 0001472310 scopus 로고
    • Futures trading and volatility in the GNMA market
    • Figlewski, S. (1981). Futures trading and volatility in the GNMA market. Journal of Finance, 36, 445-456.
    • (1981) Journal of Finance , vol.36 , pp. 445-456
    • Figlewski, S.1
  • 22
    • 0011418755 scopus 로고
    • Welfare aspects of options and supershares
    • Hakansson, N. (1978). Welfare aspects of options and supershares. Journal of Finance, 33, 759-776.
    • (1978) Journal of Finance , vol.33 , pp. 759-776
    • Hakansson, N.1
  • 23
    • 84977715453 scopus 로고
    • S&P 500 cash stock price volatilities
    • Harris, L. (1989). S&P 500 cash stock price volatilities. Journal of Finance, 44, 1155-1176.
    • (1989) Journal of Finance , vol.44 , pp. 1155-1176
    • Harris, L.1
  • 24
    • 85012197044 scopus 로고
    • The impact of index futures markets on Australian sharemarket volatility
    • Hodgson, A., & Nicholls, D. (1991). The impact of index futures markets on Australian sharemarket volatility. Journal of Business Finance and Accounting, 18, 267-279.
    • (1991) Journal of Business Finance and Accounting , vol.18 , pp. 267-279
    • Hodgson, A.1    Nicholls, D.2
  • 25
    • 84978549449 scopus 로고
    • The effect of futures trading on the stability of standard and poor 500 returns
    • Kamara, A., Miller, T., & Siegel, A. (1992). The effect of futures trading on the stability of Standard and Poor 500 returns. Journal of Futures Markets, 12, 645-658.
    • (1992) Journal of Futures Markets , vol.12 , pp. 645-658
    • Kamara, A.1    Miller, T.2    Siegel, A.3
  • 26
    • 0032622609 scopus 로고    scopus 로고
    • The impact of index futures trading on the betas of the underlying constituent stocks: The case of Hong Kong
    • Kan, A., & Tang, G. (1999). The impact of index futures trading on the betas of the underlying constituent stocks: The case of Hong Kong. Journal of International Financial Markets, Institutions and Money, 9, 97-114.
    • (1999) Journal of International Financial Markets, Institutions and Money , vol.9 , pp. 97-114
    • Kan, A.1    Tang, G.2
  • 27
    • 0010850344 scopus 로고
    • The impact of options on the underlying securities
    • Winter
    • Klemkosky, R., & Maness, T. (1980, Winter). The impact of options on the underlying securities. Journal of Portfolio Management, 6, 12-18.
    • (1980) Journal of Portfolio Management , vol.6 , pp. 12-18
    • Klemkosky, R.1    Maness, T.2
  • 28
    • 84978578487 scopus 로고
    • Stock index futures listing and structural change in time-varying volatility
    • Lee, S., & Ohk, K. (1992). Stock index futures listing and structural change in time-varying volatility. Journal of Futures Markets, 12, 493-509.
    • (1992) Journal of Futures Markets , vol.12 , pp. 493-509
    • Lee, S.1    Ohk, K.2
  • 29
    • 84987477016 scopus 로고
    • Information asymmetry and option trading
    • Ma, C., & Rao, R. (1988). Information asymmetry and option trading. Financial Review, 23, 39-51.
    • (1988) Financial Review , vol.23 , pp. 39-51
    • Ma, C.1    Rao, R.2
  • 30
    • 0009189057 scopus 로고
    • Program trading and systematic stock price behaviour
    • May-June
    • Martin, J., & Senchack, A. (1989, May-June). Program trading and systematic stock price behaviour. Financial Analysts Journal, 45, 61-67.
    • (1989) Financial Analysts Journal , vol.45 , pp. 61-67
    • Martin, J.1    Senchack, A.2
  • 31
    • 84978567149 scopus 로고
    • Index futures, program trading, and the covariability of the major index stocks
    • Martin, J., & Senchack, A. (1991). Index futures, program trading, and the covariability of the major index stocks. Journal of Futures Markets, 11, 95-111.
    • (1991) Journal of Futures Markets , vol.11 , pp. 95-111
    • Martin, J.1    Senchack, A.2
  • 32
    • 38249001539 scopus 로고
    • The economics and politics of index arbitrage in the US and Japan
    • Miller, M. H. (1993). The economics and politics of index arbitrage in the US and Japan. Pacific-Basin Finance Journal, 1, 3-11.
    • (1993) Pacific-basin Finance Journal , vol.1 , pp. 3-11
    • Miller, M.H.1
  • 33
    • 84979418670 scopus 로고
    • Futures trading and price volatility of GNMA certificates - Further evidence
    • Moriarty, E., & Tosini, P. (1985). Futures trading and price volatility of GNMA certificates - Further evidence. Journal of Futures Markets, 5, 633-641.
    • (1985) Journal of Futures Markets , vol.5 , pp. 633-641
    • Moriarty, E.1    Tosini, P.2
  • 34
    • 0842316847 scopus 로고
    • ARCH models as diffusion approximations
    • Nelson, D. B. (1990a). ARCH models as diffusion approximations. Journal of Econometrics, 45, 7-38.
    • (1990) Journal of Econometrics , vol.45 , pp. 7-38
    • Nelson, D.B.1
  • 35
    • 84972091517 scopus 로고
    • Stationarity and persistence in the GARCH(1, 1) model
    • Nelson, D. B. (1990b). Stationarity and persistence in the GARCH(1, 1) model. Econometric Reviews, 6, 318-334.
    • (1990) Econometric Reviews , vol.6 , pp. 318-334
    • Nelson, D.B.1
  • 36
    • 0008308137 scopus 로고
    • Does futures trading reduce price fluctuations in the cash markets?
    • Powers, M. (1970). Does futures trading reduce price fluctuations in the cash markets? American Economic Review, 60, 460-464.
    • (1970) American Economic Review , vol.60 , pp. 460-464
    • Powers, M.1
  • 37
    • 0039794695 scopus 로고
    • The effects of futures trading on cash market volatility: Evidence from the London stock exchange
    • Robinson, G. (1994). The effects of futures trading on cash market volatility: Evidence from the London Stock Exchange. Review of Futures Markets, 13, 429-452.
    • (1994) Review of Futures Markets , vol.13 , pp. 429-452
    • Robinson, G.1
  • 40
    • 0001907981 scopus 로고
    • Options markets and stock return volatility
    • Skinner, D. (1989). Options markets and stock return volatility. Journal of Financial Economics, 24, 61-78.
    • (1989) Journal of Financial Economics , vol.24 , pp. 61-78
    • Skinner, D.1
  • 41
    • 0007790397 scopus 로고    scopus 로고
    • The effect of options on stock prices: 1973 to 1995
    • Sorescu, S. (2000). The effect of options on stock prices: 1973 to 1995. Journal of Finance, 487-514.
    • (2000) Journal of Finance , pp. 487-514
    • Sorescu, S.1
  • 42
    • 84934349023 scopus 로고
    • Informational externalities and welfare-reducing speculation
    • Stein, J. (1987). Informational externalities and welfare-reducing speculation. Journal of Political Economy, 95, 1123-1145.
    • (1987) Journal of Political Economy , vol.95 , pp. 1123-1145
    • Stein, J.1
  • 43
    • 84977725115 scopus 로고
    • Overreactions in options markets
    • Stein, J. (1989). Overreactions in options markets. Journal of Finance, 44, 1011-1023.
    • (1989) Journal of Finance , vol.44 , pp. 1011-1023
    • Stein, J.1
  • 44
    • 0002600995 scopus 로고
    • Expiration day effects of index options and futures
    • Stoll, H., & Whaley, R. (1987). Expiration day effects of index options and futures. Financial Analysts Journal, 43, 16-28.
    • (1987) Financial Analysts Journal , vol.43 , pp. 16-28
    • Stoll, H.1    Whaley, R.2
  • 46
    • 85024975221 scopus 로고
    • The impact of option listing on underlying stock returns: The UK evidence
    • Watt, W., Yaclav, P., & Draper, P. (1992). The impact of option listing on underlying stock returns: The UK evidence. Journal of Business Finance and Accounting, 19, 485-503.
    • (1992) Journal of Business Finance and Accounting , vol.19 , pp. 485-503
    • Watt, W.1    Yaclav, P.2    Draper, P.3
  • 47
    • 84986437315 scopus 로고
    • Short term impact of option trading on the underlying securities
    • Whiteside, M., Dukes, W., & Dunne, P. (1983). Short term impact of option trading on the underlying securities. Journal of Financial Research, 6, 313-321.
    • (1983) Journal of Financial Research , vol.6 , pp. 313-321
    • Whiteside, M.1    Dukes, W.2    Dunne, P.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.