Impact of Single Stock Futures on the Volatility of Underlying Russian Stocks
Author | : Thadavillil Jithendranathan |
Publisher | : |
Total Pages | : |
Release | : 2014 |
ISBN-10 | : OCLC:1308849045 |
ISBN-13 | : |
Rating | : 4/5 (45 Downloads) |
Download or read book Impact of Single Stock Futures on the Volatility of Underlying Russian Stocks written by Thadavillil Jithendranathan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper looks into the effect of Single Stock Futures (SSF) introduction on the trading volume and volatility of underlying stocks in two different Russian markets. The results indicate that there is very little evidence of trading volume shift from the spot market to the futures markets. Using a GARCH (1,1) model the underlying stock volatility for 5 different stocks are estimated and these results indicate that there is a reduction in volatility after the introduction of SSF in the majority of the stocks. Granger causality tests do not indicate that the futures trading causes significant changes in stock volatility.