JOURNAL ARTICLE

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

Eric C. ChangJoseph ChengJ. Michael Pinegar

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

Metrics

88
Cited By
2.19
FWCI (Field Weighted Citation Impact)
29
Refs
0.90
Citation Normalized Percentile
Is in top 1%
Is in top 10%

Citation History

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

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