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Volatility spillover between conventional stock index and participation index : the Turkish case
Kahyaoglu, Sezer Bozkuş; Akkus, Hilmi Tunahan - In: Contemporary issues in business economics and finance, (pp. 1-17). 2020
Persistent link: https://www.econbiz.de/10012312806
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Causal relationship between FT-SE 100 stock index futures volatility and FT-SE 100 index options implied volatility
Kalyvas, Lampros; Dritsakis, Nikolaos - In: Journal of financial management and analysis : … 30 (2017) 2, pp. 58-64
Persistent link: https://www.econbiz.de/10011991716
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The lead-lag relationship between volatility index futures and spot in the Korean Stock Market
Qin, Rong-Yuan; Heo, Ji-Hun - In: Journal of international trade & commerce 13 (2017) 4, pp. 139-159
Persistent link: https://www.econbiz.de/10011799640
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High-Frequency Causality in the VIX Index and Its Derivatives : Empirical Evidence
Farokhnia, Kia; Osterrieder, Joerg - 2023
In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major volatility-related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the role of linear causality in the VIX index and its...
Persistent link: https://www.econbiz.de/10014361986
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Can the introduction of stock index futures stabilize the volatility of the stock market? : evidence from the Chinese stock market
Liu, Shengnan; Yang, Linshan; Gu, Rongbao - In: International review of economics & finance : IREF 85 (2023), pp. 44-58
Persistent link: https://www.econbiz.de/10014424017
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The impact of stock index futures trading on daily returns seasonality : a multicountry study
Faff, Robert W.; McKenzie, Michael D. - In: The journal of business : B 75 (2002) 1, pp. 95-125
Persistent link: https://www.econbiz.de/10001641883
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The effects of stock index futures trading on stock index volatility : an analysis of the asymmetric response of volatility to news
Antoniou, Antonios - In: The journal of futures markets 18 (1998) 2, pp. 151-166
Persistent link: https://www.econbiz.de/10001239196
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Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets
Abhyankar, Abhay - In: The journal of futures markets 15 (1995) 4, pp. 457-488
Persistent link: https://www.econbiz.de/10001185355
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A comparative GARCH analysis of macroeconomic variables and returns on modelling the Kurtosis of FTSE 100 implied volatility index
Alsheikhmubarak, Abdulilah Ibrahim; Giouvris, Evangelos - In: Multinational finance journal 22 (2018) 3/4, pp. 119-172
Persistent link: https://www.econbiz.de/10012547707
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Information transmission between China's IH and SGX FTSE A50 stock index futures markets : the role of trading restrictions
Wen, Tianxiang; Li, Ping; An, Yunbi - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 6, pp. 1639-1650
Persistent link: https://www.econbiz.de/10013190176