This study analyzes the effect of stock index futures trading on the price volatility and liquidity of spot markets, It is found that spot price volatility increases significantly after stock index futures are listed, This study partitions the trading activity series of sPOt markets into expected and unexpected components, and documents that unexpected spot-trading activities are associated with smaller sPOt price movements subsequent to the introduction of futures trading, This imolies that spot market liquidity has been increased by the intraduction of futures trading, Furthermore, this study examines the effect of futures-trading activity on the liquidity of spot markets, Results show that active futures markets enhance the liquidity of soot markets.
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31 May 2005
Research Article|
May 31 2005
The Effect of Futures Trading on Spot Market Liquidity
Ki Yool Ohk
Ki Yool Ohk
Pusan National University
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Publisher: Emerald Publishing on behalf of Korea Derivatives Association
Online ISSN: 2713-6647
Print ISSN: 1229-988X
© 2005 Emerald Publishing Limited
2005
This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2005) 13 (1): 29–52.
Citation
Ohk KY (2005), "The Effect of Futures Trading on Spot Market Liquidity". Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu, Vol. 13 No. 1 pp. 29–52, doi: https://doi.org/10.1108/JDQS-01-2005-B0002
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