Ming‐Shiun Pan; Liu, Y. Angela; Roth, Herbert J. - In: Journal of Futures Markets 23 (2003) 4, pp. 399-414
In this study we examine how volatility and the futures risk premium affect trading demands for hedging and speculation in the S&P 500 Stock Index futures contracts. To ascertain if different volatility measures matter in affecting the result, we employ three volatility estimates. Our empirical...