题名

A STUDY OF THE DYNAMIC RELATIONSHIP BETWEEN SINGLE STOCK FUTURES AND THEIR UNDERLYING SECURITIES

DOI

10.6291/AIAPM.2016.07.03

作者

Ming-Chang Wang；Yu-Jia Ding

关键词

Single Stock Futures ； Price-Volume Relationship ； Volatility Risk ； Panel VAR Model ； GARCH Model

期刊名称

Advances in Investment Analysis and Portfolio Management

卷期/出版年月

7期（2016 / 03 / 01）

页次

43 - 63

内容语文

英文
英文摘要

PWe set out in this study to examine the issuance of single stock futures (SSFs) and the resultant effects on price-volume trading in the spot market, with such effects including spot price discovery, the price-volume relationship and volatility risk. Our empirical analyses reveal the following important findings: (1) a price discovery function is discernible between SSFs and the spot, whilst the spot reveals considerable price discovery in SSFs; (2) a price-volume relationship is found to exist between the prices of the spot and SSFs, and between the trading volume of the spot and SSFs; and (3) SSFs reduce the volatility of the spot price, return and turnover, thereby increasing their stability, which ultimately has a positive influence on overall reduction in volatility risk within the spot market.
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
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