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• W2023241887 abstract "The impact of futures trading on the underlying asset volatility, and its characteristics, is still debated both in the economic literature and among practitioners. The aim of this study is to analyse the effect of the introduction of stock index futures on the volatility of the Italian Stock Exchange. This study mainly addresses two issues: first, the study analyses whether the reduction of stock market volatility showed in the post-futures period, already pointed out in previous research, is effectively due to the introduction of futures contract. Second, whether the ‘futures effect’, if confirmed, is immediate or delayed with respect to the moment of the futures trading onset is tested. The results show that the introduction of stock index futures per se has led to diminished stock market volatility and no other contingent cause seems to have systematically reduced it. Further, they also suggest that the impact of futures onset on the underlying market volatility is likely to be immediate. These findings are consistent with those theories stating that active and developed futures markets enhance the efficiency of the corresponding spot markets." @default.
• W2023241887 created "2016-06-24" @default.
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• W2023241887 date "2002-03-01" @default.
• W2023241887 modified "2023-09-27" @default.
• W2023241887 title "Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH" @default.
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• W2023241887 doi "https://doi.org/10.1080/09603100110088085" @default.
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