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

Ming-Chang Wang ； Yu-Jia Ding

《Advances in Investment Analysis and Portfolio Management》 7期 (2016/03) Pp. 43-63

https://doi.org/10.6291/AIAPM.2016.07.03

並列摘要

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.

並列關鍵字

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

參考文獻

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