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Stock index futures listing and structural change in time-varying volatility

Article Abstract:

The effects of stock index futures trade on stock return volatility in Australia, Hong Kong, Japan and the UK are studied. An international portfolio is composed to represent the countries' stock indices returns and tested with the modified Levine test statistic. Results indicate that market volatility increased significantly after stock index futures were listed on the underlying index. Portfolio return volatility likewise increased. Results also show that stock market efficiency increased with the creation of stock index futures.

Security and commodity exchanges, Analysis, Economic aspects, Stock-exchange, Stock exchanges, Speculation, Stock index futures

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Margin requirements and futures activity: evidence from the soybean and corn markets

Article Abstract:

Hartzmark's model for future demand is used in assessing the impact of margin requirements on the activity and volatility of futures markets using data from the soybean and corn markets. Results indicate that as contracts mature, trading becomes more sensitive to margin changes. This finding negates the observation that margins present significant opportunity costs for futures traders. Moreover, it has been noted that margins have a negative effect on the trading activities for all types of traders.

Corn, Corn Farming, Soybean Farming, Soybeans, Evaluation, Futures market, Futures markets, Securities, Futures, Soybean, Soybean industry, Margins (Futures trading), Corn industry

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