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- W2055763570 abstract "There has been considerable interest, both academic and regulatory, in the hypothesis that the higher is the volume in the futures market, the greater is the destabilizing effect on the stock market. We show that conventional approaches, such as adding exogenous variables to GARCH models, may lead to false inferences in tests of this question. Using a stochastic volatility model, we show that, contrary to regulatory concern and the results of other papers, contemporaneous informationless futures market trading has no significant effect on spot market volatility." @default.
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- W2055763570 date "2001-09-01" @default.
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- W2055763570 title "The Effect of Futures Market Volume on Spot Market Volatility" @default.
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- W2055763570 doi "https://doi.org/10.1111/1468-5957.00394" @default.
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