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    题名: The Innovations of E-mini Contracts and Futures Price Volatility Components? The Empirical Investigation of S&P 500 Stock Index Futures
    作者: Tu, Anthony H.;Ming-Chun Wang
    杜化宇
    关键词: Stock index futures;Kalman filter;Stochastic volatility model
    日期: 2007-04
    上传时间: 2008-11-05 16:54:06 (UTC+8)
    摘要: 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.
    關聯: Journal of International Financial Markets,Institutions and Money, 17(2), 198-211
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1016/j.intfin.2005.11.001
    DOI: 10.1016/j.intfin.2005.11.001
    显示于类别:[財務管理學系] 期刊論文

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