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Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures markets

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  • Abhay H. Abhyankar

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  • Abhay H. Abhyankar, 1995. "Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(4), pages 457-488, June.
    • Handle: RePEc:wly:jfutmk:v:15:y:1995:i:4:p:457-488
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    Cited by:

    1. Lepone, Andrew & Yang, Jin Young, 2013. "Informational role of market makers: The case of exchange traded CFDs," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 84-92.
    2. Sifat, Imtiaz Mohammad & Mohamad, Azhar & Mohamed Shariff, Mohammad Syazwan Bin, 2019. "Lead-Lag relationship between Bitcoin and Ethereum: Evidence from hourly and daily data," Research in International Business and Finance, Elsevier, vol. 50(C), pages 306-321.
    3. Yao, Can-Zhong & Lin, Qing-Wen, 2017. "The mutual causality analysis between the stock and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 478(C), pages 188-204.
    4. Chris Bilson & Tim Brailsford & Twm Evans, 2005. "The International Transmission of Arbitrage Information Across Futures Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(5‐6), pages 973-1000, June.
    5. Partha Sarathi Roy & Tanupa Chakraborty, 2023. "Efficiency of Indian Equity Futures Market—An Empirical Analysis with reference to National Stock Exchange," Global Business Review, International Management Institute, vol. 24(6), pages 1326-1352, December.
    6. Chaiyuth Padungsaksawasdi & Ali Parhizgari, 2017. "Major Currency ETFs and Their Associated Spot and Futures Rates," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-32, December.
    7. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2015. "Is carbon emissions trading profitable?," Economic Modelling, Elsevier, vol. 47(C), pages 84-92.
    8. Mustafa Okur & Emrah Cevik, 2013. "Testing Intraday Volatility Spillovers in Turkish Capital Markets: Evidence from Ise," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 26(3), pages 99-116, January.
    9. David McMillan & Alan Speight, 2002. "Return-volume dynamics in UK futures," Applied Financial Economics, Taylor & Francis Journals, vol. 12(10), pages 707-713.
    10. Lafuente Luengo, Juan Ángel, 2000. "Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets," DEE - Working Papers. Business Economics. WB 9849, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    11. P. Sakthivel & Krishna Reddy Chittedi & Daniel Sakyi, 2017. "Price Discovery and Volatility Transmission in Currency Spot and Futures Markets in India: An Empirical Analysis," Global Business Review, International Management Institute, vol. 20(4), pages 931-945, August.
    12. Lin, Emily & Lee, Cheng-Few & Wang, Kehluh, 2013. "Futures mispricing, order imbalance, and short-selling constraints," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 408-423.
    13. Antonakakis, Nikolaos & Floros, Christos & Kizys, Renatas, 2016. "Dynamic spillover effects in futures markets: UK and US evidence," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 406-418.
    14. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2016. "Intraday return predictability, portfolio maximisation, and hedging," Emerging Markets Review, Elsevier, vol. 28(C), pages 105-116.
    15. C. Kailash P. & К. Прадхам Ч., 2017. "Движение цен на спотовых и фьючерсных рынках: Подтверждение индексами S&P CNX NIFTY // Price movements in futures and spot markets: Evidence from the S&P CNX Nifty Index," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 5(1), pages 32-41.
    16. Letife Özdemir & Ercan Özen & Simon Grima & Yannis Thalassinos, 2019. "Causality between Spot and Future Markets of the Borsa Istanbul Index and the Dow Jones Industrial Average," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 9(3-4), pages 115-131.
    17. Minho Kim & Andrew C. Szakmary & Thomas V. Schwarz, 1999. "Trading costs and price discovery across stock index futures and cash markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(4), pages 475-498, June.
    18. David McMillan & Alan Speight, 2003. "Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures," Applied Financial Economics, Taylor & Francis Journals, vol. 13(8), pages 599-607.
    19. M. Nieto & Angeles Fernandez & M. Muñoz, 1998. "Market efficiency in the Spanish derivatives markets: An empirical analysis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 4(4), pages 349-355, November.
    20. Hans R. Stoll & Robert E. Whaley, 1997. "Expiration†Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures," Australian Journal of Management, Australian School of Business, vol. 22(2), pages 139-174, December.
    21. Huo, Rui & Ahmed, Abdullahi D., 2018. "Relationships between Chinese stock market and its index futures market: Evaluating the impact of QFII scheme," Research in International Business and Finance, Elsevier, vol. 44(C), pages 135-152.
    22. Antonios Antoniou & Gioia Pescetto & Antonis Violaris, 2003. "Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(5‐6), pages 645-667, June.
    23. Kung, Ling-Ming & Yu, Shang-Wu, 2008. "Prediction of index futures returns and the analysis of financial spillovers--A comparison between GARCH and the grey theorem," European Journal of Operational Research, Elsevier, vol. 186(3), pages 1184-1200, May.
    24. Ren, Fei & Ji, Shen-Dan & Cai, Mei-Ling & Li, Sai-Ping & Jiang, Xiong-Fei, 2019. "Dynamic lead–lag relationship between stock indices and their derivatives: A comparative study between Chinese mainland, Hong Kong and US stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 709-723.
    25. Gong, Chen-Chen & Ji, Shen-Dan & Su, Li-Ling & Li, Sai-Ping & Ren, Fei, 2016. "The lead–lag relationship between stock index and stock index futures: A thermal optimal path method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 63-72.

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