Has futures trading activity caused stock price volatility?

Article Abstract:

An empirical study was conducted to investigate the contribution of futures trading activity on stock market volatility. Multivariate Granger-causality tests were used in tandem with Akaike's final prediction criterion to analyze the effects. Results showed that futures trading activity does not significantly affect jump volatility and that the volatility of additional macroeconomic variables does not induce stock price volatility.

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Intra-day volatility components in FTSE-100 stock index futures

Article Abstract:

Research is presented describing the information flow systems operated by the FTSE-100 stock index futures market and the impact the flow has on the intra-day volatility of futures movements.

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Examining futures price changes and volatility on the trading day after a limit-lock day

Article Abstract:

Research is presented describing the impact of limit lock days on the price of futures and the resulting price fluctuations reported on subsequent trading days.

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