Futures markets, regulation and volatility: The case of the Nikkei stock index futures markets
O Bacha, AF Vila - Pacific-Basin Finance Journal, 1994 - Elsevier
This paper studies price volatility of the Nikkei 225 stock index and its futures contracts
traded on SIMEX, OSE and CME. We address the following three questions: What effect
does the introduction of a new futures market have on volatility in the underlying spot and
existing futures markets? Is price volatility affected by market structure and regulations? and
Is there an expiration day effect? We find that the introduction of a new futures contract has
no significant effect on volatility in the stock market. Evidence, too weak to suggest that …
traded on SIMEX, OSE and CME. We address the following three questions: What effect
does the introduction of a new futures market have on volatility in the underlying spot and
existing futures markets? Is price volatility affected by market structure and regulations? and
Is there an expiration day effect? We find that the introduction of a new futures contract has
no significant effect on volatility in the stock market. Evidence, too weak to suggest that …
Futures markets, regulation and volatility: The case of the Nikkei stock index futures markets
O Bacha, AF Vila - Pacific-Basin Finance Journal, 1995 - infona.pl
This paper studies price volatility of the Nikkei 225 stock index and its futures contracts
traded on SIMEX, OSE and CME. We address the following three questions: What effect
does the introduction of a new futures market have on volatility in the underlying spot and
existing futures markets? Is price volatility affected by market structure and regulations? and
Is there an expiration day effect? We find that the introduction of a new futures contract has
no significant effect on volatility in the stock market. Evidence, too weak to suggest that …
traded on SIMEX, OSE and CME. We address the following three questions: What effect
does the introduction of a new futures market have on volatility in the underlying spot and
existing futures markets? Is price volatility affected by market structure and regulations? and
Is there an expiration day effect? We find that the introduction of a new futures contract has
no significant effect on volatility in the stock market. Evidence, too weak to suggest that …