Journal Article10.1002/(SICI)1096-9934(199710)17:7<733::AID-FUT1>3.0.CO;2-O
Program trading, nonprogram trading, and market volatility
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About: This article is published in Journal of Futures Markets. The article was published on 01 Oct 1997. The article focuses on the topics: Trading turret & Electronic trading.
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Citations
The Impact of Derivatives on Cash Markets: What Have We Learned?
Stewart Mayhew
- 01 Jan 2000
TL;DR: A wide array of theoretical approaches have been applied to the question of how speculative trading, the introduction of futures and options might affect the stability, liquidity and price informativeness of asset markets as mentioned in this paper.
88
Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market
TL;DR: In this paper, an augmented GARCH (GARCH-X) model where the error correction term enters in the specification of the conditional covariance matrix is introduced. But it fails to eliminate the riskiness of the spot position to the extent evidenced in other markets in the literature.
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Hedging in the Freight Futures Market
TL;DR: In this paper, the same authors investigated the same question for a futures market based on services, the Baltic International Freight Futures Exchange (BIFFEX) market, and found that time-varying hedge ratios outperformed alternative specifications in reducing market risk, in four shipping routes, but they failed to reduce the riskiness of the spot position, to the extent found for other markets in the literature.
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The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks
Shafiqur Rahman,Shafiqur Rahman +1 more
TL;DR: In this article, the impact of trading in the Dow Jones Industrial Average (DJIA) index futures and futures options on the conditional volatility of component stocks was examined with the generalized autoregressive conditional heteroscedasticity (GARCH) model.
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Hedging in the Freight Futures Market
TL;DR: Kavussanos and Nomikos as mentioned in this paper examined the hedging characteristics of the BIFFEX contract within a GARCH framework that takes account of cointegration between the spot and futures markets.
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