impact of introduction of index futures and index options trading on the underlying spot market volatility are empirically …The interaction among futures and spot markets has been one of the most important issues of the financial markets since … the launch of stock index futures by Kansas City Board of Trade in 1982. The main characteristics of derivatives such as …

various market outcomes (the price level, volatility, trading activity, market liquidity, and the degree of speculative …

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

This paper tests the random walk hypothesis and weak form market efficiency in the VIX futures market using a variety … of tests. A unit root in the aggregated market price series suggests that the VIX futures market is efficient. For the … individual VIX futures price series, 51 of 54 futures contracts meet the sufficient condition for an efficient market: the prices …

Volatility (LIV) inversion method. We apply these insights by examining the impact of the tick size reduction introduced by the …

Volatility (LIV) inversion method. We apply these insights by examining the impact of the tick size reduction introduced by the …

Gonzalo and Granger (1995) to examine price discovery competition between the VIX and VIX futures. Our results show that VIX … futures prices play a dominant role in the overall process of price discovery. An increase in the price difference between the … VIX and VIX futures, commonly referred to as the futures basis, causes a corresponding increase in the contribution to …

In this paper, we examine the possibility of an impact of the resumption of trading in Single Stock Futures (SSFs) on … the dynamics (positive feedback trading and price volatility) of the underlying stocks in Pakistan's market. Specifically … SSFs has several advantages over investigation of index futures. First, any impact of futures is more likely to be evident …

According to basic finance theory, a derivative's price is derived from the value of its underlying asset and therefore … the futures market leads in terms of price discovery, closely followed by the exchange-traded fund. Further, the time …

We analyze empirically what drives market expectations of crude oil price volatility. Between 2000 and 2014, we … outperforms a benchmark ARIMA specification both in and out of sample, suggests an approach for studying volatility in asset …