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The predictability of Finnish stock index futures and cash returns by derivatives volume

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  • Ralf Ostermark
  • Teppo Martikainen
  • Jaana Aaltonen

Abstract

The predictability of Finnish stock index futures and cash returns by the volume of stock index options and futures is investigated. Relying on Granger causality tests and vector autoregression, the results support the hypothesis that derivatives trading volume cannot be used to predict returns.

Suggested Citation

  • Ralf Ostermark & Teppo Martikainen & Jaana Aaltonen, 1995. "The predictability of Finnish stock index futures and cash returns by derivatives volume," Applied Economics Letters, Taylor & Francis Journals, vol. 2(10), pages 391-393.
    • Handle: RePEc:taf:apeclt:v:2:y:1995:i:10:p:391-393
    DOI: 10.1080/758518997
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    References listed on IDEAS

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    1. Copeland, Thomas E., 1977. "A Probability Model of Asset Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 563-578, November.
    2. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    3. Jennings, Robert H & Starks, Laura T & Fellingham, John C, 1981. "An Equilibrium Model of Asset Trading with Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 36(1), pages 143-161, March.
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    Cited by:

    1. Narjiss Araba & Alain François-Heude, 2019. "Price discovery and volatility spillovers in the French wheat market," Post-Print hal-03088859, HAL.

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