کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963646 | 930381 | 2007 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The innovations of e-mini contracts and futures price volatility components: The empirical investigation of S&P 500 stock index futures
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The innovations of e-mini contracts and futures price volatility components: The empirical investigation of S&P 500 stock index futures The innovations of e-mini contracts and futures price volatility components: The empirical investigation of S&P 500 stock index futures](/preview/png/963646.png)
چکیده انگلیسی
The effect of the initiation of e-mini stock index futures (ESIFs) on the volatility components of S&P 500 stock index futures is herein investigated. The study decomposes S&P 500 stock index-related observed volatilities into unobserved fundamental volatility and transitory noise and utilizes the decomposition to test two hypotheses: the “clientele factor hypothesis” and the “information adjustment hypothesis”. The first hypothesis proposes that the ESIFs attract more noisy traders who prefer trading the friendly-size futures contracts. The second one proposes that the innovations of ESIFs improve the information flow of the futures markets. Using a stochastic volatility model, the empirical results are consistent with both of our proposed hypotheses.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 17, Issue 2, April 2007, Pages 198-211
Journal: Journal of International Financial Markets, Institutions and Money - Volume 17, Issue 2, April 2007, Pages 198-211
نویسندگان
Anthony H. Tu, Ming-Chun Wang,