TY - JOUR
T1 - The introduction of electronically traded index futures and their impact on the underlying assets
T2 - The case of US index futures
AU - Chung, Huimin
AU - Chiang, Shumei
PY - 2005/12/1
Y1 - 2005/12/1
N2 - This paper contributes to the understanding of whether the introduction of smaller-sized and electronically traded index futures induces price speculation and destabilises the underlying asset market. By using a modified univariate conditional volatility model to examine the major indexes in the USA, this paper finds that the average return on stocks declined following the introduction of trading in E-mini futures contracts. Both in the short run and the long run, the unconditional volatility increases in the three spot indices following the introduction of E-mini futures contracts. In general, our results show that the introduction of mini-sized electronically traded index futures increases the volatility of the underlying asset.
AB - This paper contributes to the understanding of whether the introduction of smaller-sized and electronically traded index futures induces price speculation and destabilises the underlying asset market. By using a modified univariate conditional volatility model to examine the major indexes in the USA, this paper finds that the average return on stocks declined following the introduction of trading in E-mini futures contracts. Both in the short run and the long run, the unconditional volatility increases in the three spot indices following the introduction of E-mini futures contracts. In general, our results show that the introduction of mini-sized electronically traded index futures increases the volatility of the underlying asset.
KW - E-mini futures contracts
KW - Electronically traded markets
KW - Price speculation and destabilisation effects
UR - http://www.scopus.com/inward/record.url?scp=33846016901&partnerID=8YFLogxK
U2 - 10.1504/IJSTM.2005.007515
DO - 10.1504/IJSTM.2005.007515
M3 - Article
AN - SCOPUS:33846016901
VL - 6
SP - 609
EP - 626
JO - International Journal of Services, Technology and Management
JF - International Journal of Services, Technology and Management
SN - 1460-6720
IS - 6
ER -