Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets

Eric C. Chang; Joseph Cheng; J. Michael Pinegar

doi:10.1016/s0378-4266(98)00069-7

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JOURNAL ARTICLE

Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets

Eric C. Chang Joseph Cheng J. Michael Pinegar

Year: 1999 Journal: Journal of Banking & Finance Vol: 23 (5)Pages: 727-753 Publisher: Elsevier BV

DOI: 10.1016/s0378-4266(98)00069-7

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Keywords:

Futures contract Volatility (finance) Financial economics Economics Volatility swap Portfolio Stock exchange Volatility smile Volatility risk premium Portfolio insurance Stock index futures Forward market Implied volatility Stock market Monetary economics Stock market index Replicating portfolio Finance Portfolio optimization

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Topics

Financial Markets and Investment Strategies

Social Sciences → Economics, Econometrics and Finance → Finance

Market Dynamics and Volatility

Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets

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Citation History

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