Index Futures Trading and Spot Market Volatility:Evidence from the Swedish Market
(2008)Department of Economics
- Abstract
- This paper investigates the effect of the introduction of the Swedish OMXS 30 Index Futures Market on the volatility of the OMXS 30 Index Spot Market. The futures market was introduced in April 1987 and this paper will use the ARCH family of models to test if spot market volatility increased, decreased, or stayed the same in the period after the futures were introduced. A discussion of previous theories and studies is followed by an analysis of the Swedish market. The data description and methodology are followed by the empirical testing and results which indicate that there was no change in the volatility of the OMXS 30 spot market due to the introduction of the futures market. The paper concludes by discussing the possible reasons why... (More)
- This paper investigates the effect of the introduction of the Swedish OMXS 30 Index Futures Market on the volatility of the OMXS 30 Index Spot Market. The futures market was introduced in April 1987 and this paper will use the ARCH family of models to test if spot market volatility increased, decreased, or stayed the same in the period after the futures were introduced. A discussion of previous theories and studies is followed by an analysis of the Swedish market. The data description and methodology are followed by the empirical testing and results which indicate that there was no change in the volatility of the OMXS 30 spot market due to the introduction of the futures market. The paper concludes by discussing the possible reasons why the introduction of the futures market did not impact spot volatility which include the trading mechanisms of the OMXS 30 futures market, the types of investors trading, and the characteristics of the data sample. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1337593
- author
- Li, Ming and Carlson, Andrew
- supervisor
- organization
- year
- 2008
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- GARCH, volatility, Futures index trading, Swedish market, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
- language
- English
- id
- 1337593
- date added to LUP
- 2008-06-05 00:00:00
- date last changed
- 2010-08-03 10:51:45
@misc{1337593,
abstract = {{This paper investigates the effect of the introduction of the Swedish OMXS 30 Index Futures Market on the volatility of the OMXS 30 Index Spot Market. The futures market was introduced in April 1987 and this paper will use the ARCH family of models to test if spot market volatility increased, decreased, or stayed the same in the period after the futures were introduced. A discussion of previous theories and studies is followed by an analysis of the Swedish market. The data description and methodology are followed by the empirical testing and results which indicate that there was no change in the volatility of the OMXS 30 spot market due to the introduction of the futures market. The paper concludes by discussing the possible reasons why the introduction of the futures market did not impact spot volatility which include the trading mechanisms of the OMXS 30 futures market, the types of investors trading, and the characteristics of the data sample.}},
author = {{Li, Ming and Carlson, Andrew}},
language = {{eng}},
note = {{Student Paper}},
title = {{Index Futures Trading and Spot Market Volatility:Evidence from the Swedish Market}},
year = {{2008}},
}