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Journal articles on the topic 'Options (Finance) Futures market Stock index futures'

Author: Grafiati

Published: 4 June 2021

Last updated: 2 February 2022

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1

Pericli, Andreas, and Gregory Koutmos. "Index futures and options and stock market volatility." Journal of Futures Markets 17, no. 8 (1997): 957–74. http://dx.doi.org/10.1002/(sici)1096-9934(199712)17:8<957::aid-fut6>3.0.co;2-k.

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2

Hancock, G. D. "Futures option expirations and volatility in the stock index futures market." Journal of Futures Markets 11, no. 3 (1991): 319–30. http://dx.doi.org/10.1002/fut.3990110306.

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3

Kling, Arnold. "How the Stock Market Can Learn to Live with Index Futures and Options." Financial Analysts Journal 43, no. 5 (1987): 33–39. http://dx.doi.org/10.2469/faj.v43.n5.33.

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4

Kim, Sol, and Geul Lee. "Lead–Lag Relationship Between Returns and Implied Moments: Evidence from KOSPI 200 Intraday Options Data." Review of Pacific Basin Financial Markets and Policies 20, no. 03 (2017): 1750017. http://dx.doi.org/10.1142/s0219091517500175.

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This study investigates whether a lead–lag relationship exists between the returns and the moments of the implied risk-neutral density (RND) in Korea Composite Stock Price Index (KOSPI) 200 spot, futures, and options markets. The empirical analysis suggests that although there is a bidirectional lead–lag relationship between the returns and the implied moments, the skewness and kurtosis of the implied RND Granger-cause the spot and futures returns more strongly than the returns do. In contrast, the implied volatility is shown to Granger-cause the returns less strongly than the returns do. In a

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5

Beyer, Scott B., J. Christopher Hughen, and Robert A. Kunkel. "Noise trading and stock market bubbles: what the derivatives market is telling us." Managerial Finance 46, no. 9 (2020): 1165–82. http://dx.doi.org/10.1108/mf-01-2019-0052.

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PurposeThe authors examine the relation between noise trading in equity markets and stochastic volatility by estimating a two-factor jump diffusion model. Their analysis shows that contemporaneous price deviations in the derivatives market are statistically significant in explaining movements in index futures prices and option-market volatility measures.Design/methodology/approachTo understand the impact noise may have in the S&P 500 derivatives market, the authors first measure and evaluate the influence noise exerts on futures prices and then investigate its influence on option volatilit

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6

REZNIK, Nadiya, and Anton TRYHUBCHENKO. "ECONOMIC INDEX OF STOCK MARKET OVERBOUGHT AND OVERSOLD." Ukrainian Journal of Applied Economics 4, no. 3 (2019): 253–59. http://dx.doi.org/10.36887/2415-8453-2019-3-28.

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Introduction. Our stock market and stock exchange infrastructure are far behind European or US counterparts. Borrowing from them the experience of creating and using the developments in the domestic market will allow to develop the economy. Foreign indicators, research and sources, most of which are in the open, can give impetus to young and prospective scientists to improve the economic system in general and the development of the stock market in particular. The imperfection of the domestic legislation and the lack of transparency in the economic system do not allow to develop the stock marke

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7

Wang, Jinzhong, Hao Kang, Fei Xia, and Guowei Li. "Examining the Equilibrium Relationship Between the Shanghai 50 Stock Index Futures and the Shanghai 50 ETF Options Markets." Emerging Markets Finance and Trade 54, no. 11 (2018): 2557–76. http://dx.doi.org/10.1080/1540496x.2018.1483824.

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8

Zhang, Jun. "Dynamic Index Optimal Investment Strategy Based on Stochastic Differential Equations in Financial Market Options." Wireless Communications and Mobile Computing 2021 (March 19, 2021): 1–9. http://dx.doi.org/10.1155/2021/5545956.

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With the gradual development and improvement of the financial market, financial derivatives such as futures and options have also become the objects of competition in the financial market. Therefore, how to make the most favorable and optimized investment and consumption when options are included? It has become a problem facing investors. Aiming at the optimal investment problem of investors, this paper studies the calculation of an optimal investment strategy in stochastic differential equations in financial market options on the basis of fuzzy theory. Now, stochastic calculus has become an i

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9

Mo, Di, Neda Todorova, and Rakesh Gupta. "Implied volatility smirk and future stock returns: evidence from the German market." Managerial Finance 41, no. 12 (2015): 1357–79. http://dx.doi.org/10.1108/mf-04-2015-0097.

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Purpose – The purpose of this paper is to investigate the relationship between option’s implied volatility smirk (IVS) and excess returns in the Germany’s leading stock index Deutscher-Aktien Index (DAX) 30. Design/methodology/approach – The study defines the IVS as the difference in implied volatility derived from out-of-the-money put options and at-the-money call options. This study employs the ordinary least square regression with Newey-West correction to analyse the relationship between IVS and excess DAX 30 index returns in Germany. Findings – The authors find that the German market adjus

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10

Fan, Xuejun, and De Du. "The spillover effect between CSI 500 index futures market and the spot market." China Finance Review International 7, no. 2 (2017): 249–72. http://dx.doi.org/10.1108/cfri-08-2016-0103.

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Purpose Focusing on the spillover effects between the CSI 500 stock index futures market and its underlying spot market during April to September 2015, the purpose of this paper is to explore whether Chinese stock index futures should be responsible for the 2015 stock market crash. Design/methodology/approach Using both linear and non-linear econometric models, this paper empirically examines the mean spillover and the volatility spillover between the CSI 500 stock index futures market and the underlying spot market. Findings The results showed the following: the CSI 500 stock index futures ma

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11

Miwa, Kotaro. "Stock Futures of a Flawed Market Index." Asia-Pacific Financial Markets 26, no. 1 (2018): 1–21. http://dx.doi.org/10.1007/s10690-018-9253-6.

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12

Yoo, Shiyong. "Volatility and Trading Volumes of Trader Types in KOSPI200 Index, Futures, and Options Markets." Journal of Derivatives and Quantitative Studies 22, no. 1 (2014): 91–115. http://dx.doi.org/10.1108/jdqs-01-2014-b0005.

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In this study, we explore the empirical relationship between trading volume and volatility among KOSPI200 index stock market, futures and options markets. In particular, in explaining the volatility of each market, the trading in other markets, as well as the trading volume of other markets, also served as explanatory variables. In other words, cross-market effects of trading volume by investor types are analyzed. The empirical results show that there exist the cross-market effects of the relationship between trading volume and volatility in deeply integrated financial markets such as KOSPI200

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13

Maberly, Edwin D., David S. Allen, and Roy F. Gilbert. "Stock Index Futures and Cash Market Volatility." Financial Analysts Journal 45, no. 6 (1989): 75–77. http://dx.doi.org/10.2469/faj.v45.n6.75.

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14

Floros, Christos, and Dimitrios V. Vougas. "The efficiency of Greek stock index futures market." Managerial Finance 34, no. 7 (2008): 498–519. http://dx.doi.org/10.1108/03074350810874451.

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15

Floros *, Christos, and Dimitrios V. Vougas. "Hedge ratios in Greek stock index futures market." Applied Financial Economics 14, no. 15 (2004): 1125–36. http://dx.doi.org/10.1080/09603100412331297702.

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16

Thị Nhung, Nguyễn, Trần Thị Vân Anh, Nguyễn Tố Nga, Vương Thùy Linh, and Đinh Xuân Cường. "Price discovery and information transmission across stock index futures: evidence from VN 30 Index Futures on Vietnam’s stock market." Investment Management and Financial Innovations 16, no. 4 (2019): 262–76. http://dx.doi.org/10.21511/imfi.16(4).2019.23.

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The introduction of the first tradable stock index futures of VN 30 is a very good signal showing that Vietnam is starting to have a high-level financial market, which brings many expectations about sustainable and safe development of its stock market. However, risk concerns of this type of derivative products have been raising with many claims since then. This article aims to provide empirical evidences to show if futures trading plays important role of price discovery and information transmission for spot market. Using daily data collected about VN 30 Index Futures, VN 30 Index, VN Index fro

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17

Tosini, Paula A. "Stock Index Futures and Stock Market Activity in October 1987." Financial Analysts Journal 44, no. 1 (1988): 28–37. http://dx.doi.org/10.2469/faj.v44.n1.28.

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18

Hou, Yang, and Steven Li. "Volatility behaviour of stock index futures in China: a bivariate GARCH approach." Studies in Economics and Finance 32, no. 1 (2015): 128–54. http://dx.doi.org/10.1108/sef-10-2013-0158.

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Purpose – This paper aims to investigate the volatility transmission and dynamics in China Securities Index (CSI) 300 index futures market. Design/methodology/approach – This paper applies the bivariate Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC) Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models using high frequency data. Estimates for the bivariate GARCH models are obtained by maximising the log-likelihood of the probability density function of a conditional Student’s t distribution. Findings – This empirical analysis yields a few in

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19

XIONG, XIONG, MEI WEN, WEI ZHANG, and YONG JIE ZHANG. "CROSS-MARKET FINANCIAL RISK ANALYSIS: AN AGENT-BASED COMPUTATIONAL FINANCE." International Journal of Information Technology & Decision Making 10, no. 03 (2011): 563–84. http://dx.doi.org/10.1142/s0219622011004464.

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Using the method of agent-based computational finance, this paper designs ten experiments to examine the impacts of the index futures market, typical investment strategies, and different trading mechanisms on the volatility of the Chinese stock market, taking into account the behavior of investors. We have the following results. First, the volatility of the stock market decreases with the index future market and cross-market arbitrageurs. Second, different investment strategies have different effects on stock market volatility. In many cases, both market-imitating and stop-loss strategies can

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20

Stoll, Hans R. "Index futures, program trading, and stock market procedures." Journal of Futures Markets 8, no. 4 (1988): 391–412. http://dx.doi.org/10.1002/fut.3990080402.

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21

Wang, Changyun, and Soon Sern Low. "Hedging with foreign currency denominated stock index futures: evidence from the MSCI Taiwan index futures market." Journal of Multinational Financial Management 13, no. 1 (2003): 1–17. http://dx.doi.org/10.1016/s1042-444x(02)00020-8.

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22

Pok, Wee Ching, Sunil S. Poshakwale, and J. L. Ford. "Stock index futures hedging in the emerging Malaysian market." Global Finance Journal 20, no. 3 (2009): 273–88. http://dx.doi.org/10.1016/j.gfj.2009.06.002.

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23

Ryoo, Hyun-Jung, and Graham Smith. "The impact of stock index futures on the Korean stock market." Applied Financial Economics 14, no. 4 (2004): 243–51. http://dx.doi.org/10.1080/0960310042000201183.

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24

Wang, Xuebiao, Xi Wang, Bo Li, and Zhiqi Bai. "The nonlinear characteristics of Chinese stock index futures yield volatility." China Finance Review International 10, no. 2 (2019): 175–96. http://dx.doi.org/10.1108/cfri-07-2018-0069.

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Purpose The purpose of this paper is to consider that the model of volatility characteristics is more reasonable and the description of volatility is more explanatory. Design/methodology/approach This paper analyzes the basic characteristics of market yield volatility based on the five-minute trading data of the Chinese CSI300 stock index futures from 2012 to 2017 by Hurst index and GPH test, A-J and J-O Jumping test and Realized-EGARCH model, respectively. The results show that the yield fluctuation rate of CSI300 stock index futures market has obvious non-linear characteristics including lon

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25

Fung, Hung-Gay, Qingfeng "Wilson" Liu, and Gyoungsin "Daniel" Park. "Cross-Market Linkages of Taiwan Index Futures Contracts Listed on the Taiwan Futures Exchange and the Singapore Exchange." Review of Pacific Basin Financial Markets and Policies 10, no. 04 (2007): 561–83. http://dx.doi.org/10.1142/s0219091507001203.

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Cointegration tests and ex ante trading rules are applied to study cross-market linkages between the Taiwan Index futures contracts listed on the Singapore Exchange and the Taiwan Stock Exchange Capitalization-weighted Stock Index futures contracts listed on the Taiwan Futures Exchange. The exchange rate-adjusted returns of the two futures series do not differ significantly in mean but in variances, and show significant mean-reverting tendencies between them. Our trading strategies are able to generate statistically significant, if economically insignificant, profits, while our Granger causali

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26

CHOU, PIN-HUANG, MEI-CHEN LIN, and MIN-TEH YU. "Margins and Price Limits in Taiwan's Stock Index Futures Market." Emerging Markets Finance and Trade 42, no. 1 (2006): 62–88. http://dx.doi.org/10.2753/ree1540-496x420104.

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27

Lin, Ching-Chung, Shen-Yuan Chen, and Dar-Yeh Hwang. "An Application of Threshold Cointegration to Taiwan Stock Index Futures and Spot Markets." Review of Pacific Basin Financial Markets and Policies 06, no. 03 (2003): 291–304. http://dx.doi.org/10.1142/s0219091503001109.

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This paper examines the arbitrage opportunity existing between Taiwan stock index futures and spot markets with the consideration of transaction costs. Index-futures arbitrageurs only enter into the market if the deviation from the equilibrium relationship is sufficiently large to compensate for transaction costs, as well as risk and price premiums. Employing the 5-minute intraday data of Taiwan index futures contracts, this paper uses the threshold cointegration model to estimate the upper and lower thresholds within which arbitrage is not profitable and, hence, the mispricing errors do not a

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28

Bhat, Rajani Balakrishna, and Suresh V. N. "Lead Lag Relationship between Futures and Spot Prices in Select Nifty Companies." GIS Business 12, no. 5 (2017): 30–48. http://dx.doi.org/10.26643/gis.v12i5.3343.

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The equity derivatives market in India has undergone remarkable changes in terms of instruments introduced. Introduction of single stock futures, amidst great misgivings, was solely responsible for placing Indian exchanges in the topmost position in the global scenario. Till 2006-07, single stock futures were the most traded instruments in the Indian equity derivative segment. But, post-Global Financial Crisis, there has been a continuous drift in favour of index options from single stock futures. There has been a continuous decline in the share of single stock futures, the gain being that of

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29

Floros, Christos. "Price and Open Interest in Greek Stock Index Futures Market." Journal of Emerging Market Finance 6, no. 2 (2007): 191–202. http://dx.doi.org/10.1177/097265270700600203.

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30

Truong, Loc Dong, and H. Swint Friday. "The Impact of the Introduction of Index Futures on the Daily Returns Anomaly in the Ho Chi Minh Stock Exchange." International Journal of Financial Studies 9, no. 3 (2021): 43. http://dx.doi.org/10.3390/ijfs9030043.

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This study investigated the impact of the introduction of the VN30-Index futures contract on the daily returns anomaly for the Ho Chi Minh Stock Exchange (HOSE). Daily returns of the VN30-Index for the period 6 February 2012 through 31 December 2019 are used in this study to ascertain the new VN30-Index futures contract influence on the day-of-the-week anomaly observed in the HOSE. To test this effect, ordinary least square (OLS), generalized autoregressive conditional heteroskedasticity [GARCH (1,1)] and exponential generalized autoregressive conditional heteroskedasticity [EGARCH (1,1)] regr

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31

TSANG, EDWARD, SHERI MARKOSE, and HAKAN ER. "CHANCE DISCOVERY IN STOCK INDEX OPTION AND FUTURES ARBITRAGE." New Mathematics and Natural Computation 01, no. 03 (2005): 435–47. http://dx.doi.org/10.1142/s1793005705000251.

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The prices of the option and futures of a stock both reflect the market's expectation of futures changes of the stock's price. Their prices normally align with each other within a limited window. When they do not, arbitrage opportunities arise: an investor who spots the misalignment will be able to buy (sell) options on the one hand, and sell (buy) futures on the other and make risk-free profits. Historical data suggest that option and futures prices on the LIFFE Market do not align occasionally. Arbitrage chances are rare. Besides, they last for seconds only before the market adjusts itself.

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32

Eom, Yunsung. "The opposite disposition effect: Evidence from the Korean stock index futures market." Finance Research Letters 26 (September 2018): 261–65. http://dx.doi.org/10.1016/j.frl.2018.02.004.

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33

Li, Yi, Dehua Shen, Pengfei Wang, and Wei Zhang. "Does intraday time-series momentum exist in Chinese stock index futures market?" Finance Research Letters 35 (July 2020): 101292. http://dx.doi.org/10.1016/j.frl.2019.09.007.

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34

Xiong, Xiong, Hailiang Yuan, Wei Zhang, and Yongjie Zhang. "Program trading and its risk analysis based on agent-based computational finance." International Journal of Financial Engineering 02, no. 02 (2015): 1550014. http://dx.doi.org/10.1142/s2424786315500140.

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Program trading originates from combination trading technology in 70's in America. It was popular, but once it was considered as root of disaster. Nowadays, there are many divergences on program trading risk in international academic world. This essay is to analyze program trading on risk of stock market. The method adopts computational experiment to build artificial stock market under various experimental conditions. The research will consider two strategies: combination insurance strategy and arbitrage strategy to inspect stock index futures' influences on artificial stock market. Through co

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35

Chou, Jian‐Hsin, and Hong‐Fwu Yu. "A stochastic process approach in setting the appropriate margin level for the TAIFEX stock index futures." Managerial Finance 32, no. 11 (2006): 886–902. http://dx.doi.org/10.1108/03074350610703830.

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PurposeThe main purpose of this paper is to compute the appropriate margin level for the stock index futures traded on the Taiwan Futures Exchange (TAIFEX) and, then, to examine the appropriateness of the real margin requirement set by the TAIFEX.Design/methodology/approachThis paper develops a new approach assuming the future's prices follow a geometric Brownian motion process. Compared with the extreme value theory that has been intensively used to determine the appropriate futures margin levels, one of the advantages of the present model is no need to specify the frequency at which extremes

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36

Yang, Chunpeng, and Bin Gao. "The term structure of sentiment effect in stock index futures market." North American Journal of Economics and Finance 30 (November 2014): 171–82. http://dx.doi.org/10.1016/j.najef.2014.09.001.

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37

Wang, Janchung, and Hsinan Hsu. "Degree of market imperfection and the pricing of stock index futures." Applied Financial Economics 16, no. 3 (2006): 245–58. http://dx.doi.org/10.1080/09603100500386768.

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38

Çağlayan, Ebru. "The Impact of Stock Index Futures on the Turkish Spot Market." Journal of Emerging Market Finance 10, no. 1 (2011): 73–91. http://dx.doi.org/10.1177/097265271101000103.

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39

Ramana Rao, S. V., and Naliniprava Tripathy. "Impact of index derivatives on Indian stock market volatility-an application of arch and GARCH model." Corporate Ownership and Control 6, no. 3 (2008): 39–44. http://dx.doi.org/10.22495/cocv6i3p3.

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The present study examined the impact of introduction of index futures derivative and index option derivative on Indian stock market by using ARCH and GARCH model to capture the time varying nature of volatility presence in the data period from October 1995 to July 2006. The results reported that the introduction of index futures and index options on the Nifty has produced no structural changes in the conditional volatility of Nifty but however the market efficiency has been improved after the introduction of the derivative products. The study concludes that financial derivative products are n

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40

Salinger, Michael A. "Stock market margin requirements and volatility: Implications for regulation of stock index futures." Journal of Financial Services Research 3, no. 2-3 (1989): 121–38. http://dx.doi.org/10.1007/bf00122797.

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41

Bailey, Warren. "The market for japanese stock index futures: Some preliminary evidence." Journal of Futures Markets 9, no. 4 (1989): 283–95. http://dx.doi.org/10.1002/fut.3990090403.

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42

Che, Hongli, Xiong Xiong, Juntian Yang, Wei Zhang, and Yongjie Zhang. "How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity." Discrete Dynamics in Nature and Society 2014 (2014): 1–8. http://dx.doi.org/10.1155/2014/742182.

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This essay focuses on the investor structure of the stock index futures market and uses agent-based computational finance method to discuss how the volume-synchronized probability of informed trading (VPIN) affects market absolute yield, information dissemination efficiency, and liquidity with different ratios of informed traders in the market. The result shows that the higher the proportion of informed traders is, the more the volatility of the market is. Furthermore, the result indicates that when the proportion of informed traders in the stock index futures market accounts for 1/3-1/2, the

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43

BLAHODATNYI, Andrii. "COMMODITY EXCHANGE AS AN INNOVATION-INSTITUTIONAL ELEMENT OF THE DEVELOPMENT OF INTERNATIONAL COMMODITY MARKETS." Ukrainian Journal of Applied Economics 4, no. 4 (2019): 52–59. http://dx.doi.org/10.36887/2415-8453-2019-4-6.

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The article examines the role of the commodity exchange as an innovative and institutional element in the development of international commodity markets. The current trends in the development of the international commodity stock market have been determined, compared to the volumes of world futures and options for 2018-2019, the number of outstanding contracts and their changes have been investigated. The transformation processes inherent in the international commodity exchange are considered and characterized. The structure of the international stock market by geographical regions is reflected

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44

Park, Hun Y., and R. Stephen Sears. "Estimating stock index futures volatility through the prices of their options." Journal of Futures Markets 5, no. 2 (1985): 223–37. http://dx.doi.org/10.1002/fut.3990050206.

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Lai, Kelvin Wai Lung, and Andrew Marshall. "A Study of Mispricing and Parity in the Hang Seng Futures and Options Markets." Review of Pacific Basin Financial Markets and Policies 05, no. 03 (2002): 373–94. http://dx.doi.org/10.1142/s0219091502000869.

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This paper examines mispricing, volatility and parity on the Hang Seng Index (HSI) options and futures market. Most of the previous research has focused on futures contracts; we update this research and extend it by considering also option contracts. It is also important to examine these issues post 1997 Asian crisis. We find mispricing of HSI futures and option contracts if no transaction costs were considered. However, by incorporating transaction costs, the HSI futures are bounded within the arbitrage free region and most of the mispricing of the HSI options disappears. Additional tests on

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46

Biebuyck, Anton, and Johan H. Van Rooyen. "Valuing put options on single stock futures: Does the put-call parity relationship hold in the South African derivatives market?" Risk Governance and Control: Financial Markets and Institutions 4, no. 4 (2014): 107–19. http://dx.doi.org/10.22495/rgcv4i4c1art5.

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This study attempts to determine whether mispricing of options on single stock futures is present in the South African derivatives market. The valuation of options on single stock futures is considered through the put-call parity relationship. The theoretical fair values obtained, are compared to the actual market values over a period of three years, that is, from 2009 to 2011. Only put options are considered in this research.The results show that arbitrage put option opportunities do present themselves for the chosen shares. The actual put options were found to be underpriced in 5 out of 6 (8

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47

Chou, Robin K., and George H. K. Wang. "Transaction tax and market quality of the Taiwan stock index futures." Journal of Futures Markets 26, no. 12 (2006): 1195–216. http://dx.doi.org/10.1002/fut.20238.

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48

Chang, Eric, Ray Y. Chou, and Edward F. Nelling. "Market volatility and the demand for hedging in stock index futures." Journal of Futures Markets 20, no. 2 (2000): 105–25. http://dx.doi.org/10.1002/(sici)1096-9934(200002)20:2<105::aid-fut1>3.0.co;2-q.

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49

Maria Caporale, Guglielmo, and Alex Plastun. "Calendar anomalies in the Ukrainian stock market." Investment Management and Financial Innovations 14, no. 1 (2017): 104–14. http://dx.doi.org/10.21511/imfi.14(1).2017.11.

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This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test for the presence of the following anomalies: day-of-the-week effect; turn-of-the-month effect; turn-of-the-year effect; month-of-the-year effect; January effect; holiday effect; Halloween effect. The results suggest that in general calendar anomalies are not present in the Ukrainian stock market, but th

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50

Barone-Adesi, Giovanni, and Don Cyr. "A test of calendar seasonalities in stock market risk implied from index futures options." International Review of Economics & Finance 3, no. 3 (1994): 327–40. http://dx.doi.org/10.1016/1059-0560(94)90015-9.

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