The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market
In this article, the effects of the introduction of the futures and options into the FTSE/ASE 20 index on the volatility of the underlying index are studied. This particular issue is quite controversial since contradictory results have been found in various markets. Analysing the data (August 1997-April 2005) with the help of an EGARCH model it is shown that the introduction of derivatives has induced a reduction of the conditional volatility of the FTSE/ASE20 index and consequently it has increased its efficiency.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 17 (2007)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-835, July.
- King, Mervyn A & Wadhwani, Sushil, 1990.
"Transmission of Volatility between Stock Markets,"
Review of Financial Studies,
Society for Financial Studies, vol. 3(1), pages 5-33.
- Mervyn A. King & Sushil Wadhwani, 1989. "Transmission of Volatility Between Stock Markets," NBER Working Papers 2910, National Bureau of Economic Research, Inc.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- T. C. Mills & C. Siriopoulos & R. N. Markellos & D. Harizanis, 2000. "Seasonality in the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 137-142.
- A. Chatrath & F. Song & B. Adrangi, 2003. "Futures trading activity and stock price volatility: some extensions," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 655-664.
- Joao Paulo Tome Calado & Maria Teresa Medeiros Garcia & Sergio Emanuel Tome Mendes Pereira, 2005. "An empirical analysis of the effects of options and futures listing on the underlying stock return volatility: the Portuguese case," Applied Financial Economics, Taylor & Francis Journals, vol. 15(13), pages 907-913.
- Hyun-Jung Ryoo & Graham Smith, 2004. "The impact of stock index futures on the Korean stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(4), pages 243-251.
- Panton, Don B. & Lessig, V. Parker & Joy, O. Maurice, 1976. "Comovement of International Equity Markets: A Taxonomic Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(03), pages 415-432, September.
- George Papachristou, 1999. "Stochastic behaviour of the Athens Stock Exchange: a case of institutional nonsynchronous trading," Applied Financial Economics, Taylor & Francis Journals, vol. 9(3), pages 239-250.
- Dekker, Arie & Sen, Kunal & Young, Martin R., 2001. "Equity market linkages in the Asia Pacific region: A comparison of the orthogonalised and generalised VAR approaches," Global Finance Journal, Elsevier, vol. 12(1), pages 1-33.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Wee Ching Pok & Sunil Poshakwale, 2004. "The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 143-154.
- Brailsford, Timothy J. & Faff, Robert W., 1996. "An evaluation of volatility forecasting techniques," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 419-438, April.
- John Barkoulas & Christopher Baum & Nickolaos Travlos, 2000. "Long memory in the Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 177-184.
- John T. Barkoulas & Christopher F. Baum & Nickolaos Travlos, 1996. "Long Memory in the Greek Stock Market," Boston College Working Papers in Economics 356., Boston College Department of Economics.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Carolyn D. David & Alice P. White, 1987. "Stock market volatility," Staff Studies 153, Board of Governors of the Federal Reserve System (U.S.).
- Andrew Coutts & Christos Kaplanidis & Jennifer Roberts, 2000. "Security price anomalies in an emerging market: the case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 561-571.
- Pierluigi Bologna & Laura Cavallo, 2002. "Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH," Applied Financial Economics, Taylor & Francis Journals, vol. 12(3), pages 183-192.
- Corredor Pilar & Santamaria Rafael, 2002. "Does derivatives trading destabilize the underlying assets? Evidence from the Spanish stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 9(2), pages 107-110.
- Ali F. Darrat & Shafiqur Rahman & Maosen Zhong, 2002. "On the Role of Futures Trading in Spot Market Fluctuations: Perpetrator of Volatility or Victim of Regret?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(3), pages 431-444.
- John Barkoulas & Nickolaos Travlos, 1998. "Chaos in an emerging capital market? The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 231-243.
- G. J. Santoni, 1987. "Has programmed trading made stock prices more volatile?," Review, Federal Reserve Bank of St. Louis, issue May, pages 18-29. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:17:y:2007:i:2:p:139-148. 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: (Chris Longhurst)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.