Index Futures Activity and Stock Market Volatility: An Empirical Analysis of the Italian Stock Exchange
AbstractThis paper examines the impact of MIB30 Index Futures on the volatility of the Italian Stock Exchange. The results suggest that the onset of futures trading may have led to diminished daily volatility. They also suggest that the nature of the volatility itself has not changed between the pre-futures and post-futures periods although a lower volatility is found in the latter. Further, the results point out that lagged futures volume is inversely related to stock market conditional volatility. These findings are consistent with those theories stating that active and developed futures markets enhance the efficiency of the corresponding spot markets.
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Bibliographic InfoArticle provided by GDE (Giornale degli Economisti e Annali di Economia), Bocconi University in its journal Giornale degli Economisti e Annali di Economia.
Volume (Year): 59 (2000)
Issue (Month): 1 (April)
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Postal: via Sarfatti, 25 - 20136 Milano (Italy)
Web page: http://www.gde.unibocconi.it/
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G2 - Financial Economics - - Financial Institutions and Services
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