This article examines the relation between price and open interest in the Greek stock index futures market. The focus … is on GARCH effects and the long–run information role of open interest. The results show that current open interest … helps in explaining GARCH effects, while a negative impact on returns is reported. Furthermore, evidence from the …

This essay examines the volatility dynamics of the financial futures returns. Samuelson (1965) demonstrated … volatility in most of these financial futures but they do not fully account for the estimated conditional variance. … theoretically that the conditional variance of changes in futures prices should increase as the time-to-maturity decreases …

This essay examines the volatility dynamics of the financial futures returns. Samuelson (1965) demonstrated … volatility in most of these financial futures but they do not fully account for the estimated conditional variance. … theoretically that the conditional variance of changes in futures prices should increase as the time-to-maturity decreases …

trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We document a number of … regularities in the pattern of daily returns and volatility of the cash index. We also document intraday patterns in the basis, i ….e. the contemporaneous difference between the futures price and the underlying cash index level. In general, we find returns …