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政大典藏 > College of Commerce > Department of Finance > Periodical Articles > Item 140.119/6096

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/6096

Title:	The Innovations of E-mini Contracts and Futures Price Volatility Components? The Empirical Investigation of S&P 500 Stock Index Futures
Authors:	Tu, Anthony H.;Ming-Chun Wang 杜化宇
Keywords:	Stock index futures;Kalman filter;Stochastic volatility model
Date:	2007-04
Issue Date:	2008-11-05 16:54:06 (UTC+8)
Abstract:	The effect of the initiation of e-mini stock index futures (ESIFs) on the volatility components of S&P 500 stock index futures is herein investigated. The study decomposes S&P 500 stock index-related observed volatilities into unobserved fundamental volatility and transitory noise and utilizes the decomposition to test two hypotheses: the “clientele factor hypothesis” and the “information adjustment hypothesis”. The first hypothesis proposes that the ESIFs attract more noisy traders who prefer trading the friendly-size futures contracts. The second one proposes that the innovations of ESIFs improve the information flow of the futures markets. Using a stochastic volatility model, the empirical results are consistent with both of our proposed hypotheses.
Relation:	Journal of International Financial Markets,Institutions and Money, 17(2), 198-211
Data Type:	article
DOI link:	http://dx.doi.org/10.1016/j.intfin.2005.11.001
DOI:	10.1016/j.intfin.2005.11.001
Appears in Collections:	[Department of Finance] Periodical Articles

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