Index Futures Activity and Stock Market Volatility: An Empirical Analysis of the Italian Stock Exchange
This 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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 59 (2000)
Issue (Month): 1 (April)
|Contact details of provider:|| Postal: via Sarfatti, 25 - 20136 Milano (Italy)|
Web page: http://www.gde.unibocconi.it/
|Order Information:|| Web: http://www.gde.unibocconi.it Email: |
When requesting a correction, please mention this item's handle: RePEc:gde:journl:gde_v59_n1_p51-88. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Erika Somma)
If references are entirely missing, you can add them using this form.