The introduction of electronically traded index futures and their impact on the underlying assets: the case of US index futures
by Huimin Chung, Shumei Chiang
International Journal of Services Technology and Management (IJSTM), Vol. 6, No. 6, 2005

Abstract: This paper contributes to the understanding of whether the introduction of smaller-sized and electronically traded index futures induces price speculation and destabilises the underlying asset market. By using a modified univariate conditional volatility model to examine the major indexes in the USA, this paper finds that the average return on stocks declined following the introduction of trading in E-mini futures contracts. Both in the short run and the long run, the unconditional volatility increases in the three spot indices following the introduction of E-mini futures contracts. In general, our results show that the introduction of mini-sized electronically traded index futures increases the volatility of the underlying asset.

Online publication date: Sun, 31-Jul-2005

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Services Technology and Management (IJSTM):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com