Do Individual Index Futures Investors Destabilize the Underlying Spot Market?
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- Martin T. Bohl & Christian A. Salm & Bernd Wilfling, 2011. "Do individual index futures investors destabilize the underlying spot market?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(1), pages 81-101, January.
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- Bohl, Martin T. & Diesteldorf, Jeanne & Siklos, Pierre L., 2015.
"The effect of index futures trading on volatility: Three markets for Chinese stocks,"
China Economic Review,
Elsevier, vol. 34(C), pages 207-224.
- Martin T. Bohl & Jeanne Diesteldorf & Pierre L. Siklos, 2014. "The Effect of Index Futures Trading on Volatility: Three Markets for Chinese Stocks," CQE Working Papers 3614, Center for Quantitative Economics (CQE), University of Muenster.
- Martin T. Bohl, Jeanne Diesteldorf, Pierre L. Siklos, 2015. "The effect of index futures trading on volatility: Three markets for Chinese stocks," LCERPA Working Papers 0087, Laurier Centre for Economic Research and Policy Analysis, revised 01 Feb 2015.
- Asche, Frank & Misund, Bard & Oglend, Atle, 2015. "The Spot-Forward Relationship in the Atlantic Salmon Market," UiS Working Papers in Economics and Finance 2015/16, University of Stavanger.
- Martin T. Bohl & Jeanne Diesteldorf & Christian A. Salm & Bernd Wilfling, 2016.
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John Wiley & Sons, Ltd., vol. 36(1), pages 30-45, January.
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More about this item
KeywordsIndividual Investors; Uninformed Trading; Stock Index Futures; Emerging Capital Markets; Stock Market Volatility; Markov-Switching-GARCH Model;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G20 - Financial Economics - - Financial Institutions and Services - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-11 (All new papers)
- NEP-FMK-2009-12-11 (Financial Markets)
- NEP-MST-2009-12-11 (Market Microstructure)
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