FUTURES-TRADING ACTIVITY AND STOCK-PRICE VOLATILITY

• 成果类型: Article
• 署名作者: BESSEMBINDER, H; SEGUIN, PJ
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329008
• 发表日期: 1992
• 页码: 2015-2034
• 关键词: Market volatility; heteroskedasticity; returns; volume; speculation; variance

摘要

We examine whether greater futures-trading activity (volume and open interest) is associated with greater equity volatility. We partition each trading activity series into expected and unexpected components, and document that while equity volatility covaries positively with unexpected futures-trading volume, it is negatively related to forecastable futures-trading activity. Further, though futures-trading activity is systematically related to the futures contract life cycle, we find no evidence of a relation between the futures life cycle and spot equity volatility. These findings are consistent with theories predicting that active futures markets enhance the liquidity and depth of the equity markets.