DO INDIVIDUAL INDEX FUTURES INVESTORS DESTABILIZE THE UNDERLYING SPOT MARKET?

被引：23

作者：

Bohl, Martin T. ^{[1
]}

Salm, Christian A. ^{[1
]}

Wilfling, Bernd ^{[1
]}

机构：

[1] Univ Munster, Dept Econ, D-48143 Munster, Germany

来源：

JOURNAL OF FUTURES MARKETS | 2011年 / 31卷 / 01期

关键词：

VOLATILITY; EFFICIENCY; IMPACT; RATES; NEWS;

D O I：

10.1002/fut.20460

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study investigates the impact of introducing index futures trading on the volatility of the underlying stock market We exploit a unique institutional setting in which presumably uninformed individuals are the dominant trader type in the futures markets I his enables us to investigate the destabilization hypothesis more accurately than previous studies do and to provide evidence for or against the influence of individuals trading in Index futures on spot market volatility To overcome econometric shortcomings of the existing literature we employ a Markov-switching-GARCH approach to endogenously identify distinct volatility regimes Our empirical evidence for Poland suggests that the introduction of index futures trading does not destabilize the spot market This finding is robust across three stock market indices and is corroborated by further analysis of a control group (C) 2010 Wiley Periodicals, Inc Jrl Fut Mark 31 81-101, 2011

引用

页码：81 / 101

页数：21

共 37 条

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