Index futures trading, information and stock market volatility: The case of Greece
Authors: Floros, Christos1; Vougas, Dimitrios V2
Source: Derivatives Use, Trading Regulation, Volume 12, Number 1, 1 May 2006 , pp. 146-166(21)
Publisher: Palgrave Macmillan
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Abstract:
This paper examines the effect of futures trading on the volatility of the underlying spot market. It focuses on various techniques to investigate the relationship between information and the volatility of the FTSE/ASE-20 and FTSE/ASE Mid 40 indices in Greece. The results for the FTSE/ASE-20 index suggest that futures trading has led to decreased stock market volatility (negative effect), but the results for the FTSE/ASE Mid 40 index indicate that the introduction of stock index futures has led to increased volatility (positive effect), while the estimations of the unconditional variances indicate lower market volatility after the introduction of stock index futures. Furthermore, the results show that good news has a more rapidly impact on FTSE/ASE-20 stock return volatility. For the FTSE/ASE Mid 40 index, the results suggest that news is reflected in prices more slowly, while old news has a less persistent effect on prices. These findings are helpful to financial managers dealing with Greek stock index futures.Derivatives Use, Trading & Regulation (2006) 12, 146-166; doi:10.1057/palgrave.dutr.1840047Document Type: Research article
DOI: 10.1057/palgrave.dutr.1840047
Affiliations: 1: 1completed his first degree in mathematics and operational research at Brighton University and also holds MA (economics) and MSc (mathematics) degrees from Portsmouth University and a PhD in financial economics from Swansea University. He is a le 2: 2studied economics and econometrics at the Athens University of Economics and Business and the University of Bristol with a scholarship from the State Scholarship Foundation of Greece. He lectures at Swansea University and previously held a resea
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