Short-run deviations and volatility in spot and futures stock returns: evidence from Australia, Hong Kong, and Japan

Article Abstract:

Short-run deviations and volatility in the spot and futures markets are shown to be interconnected. An analysis of stock returns from the cash and the futures markets of Australia, Hong Kong and Japan reveals volatility clustering, persistence of volatility shocks and strong relationship between cash and futures markets. Volatility of stock returns becomes greater whenever the deviation between spot and futures prices widens in the short run. Analysis also shows that the positive effect of short-run deviations is closely related to the spot market volatility in Japan and to the futures market volatility in Australia.

Securities & Commodities Exchanges, Analysis, Economic aspects, Japan, Securities, Futures market, Futures markets, Hong Kong, Spot market

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Pricing and hedging S&P 500 index options with Hermite polynominal approximation: empirical tests of Madan and Milne's model

Article Abstract:

A Hermite polynominal-based model developed by Madan and Milne was used in examining the European style S&P 500 index option prices traded on the Chicago Board of Options Exchange from Jan 1, 1991 through Dec 31, 1991. The results show that the Hermite polynominal model feature four parameters: Madan and Mile implied volatility, a drift mu and two coefficients pi3 and pi4 directly related to the skewness and kurtosis of the unknown distribution of the S&P 500 index prices.

Chicago Board Options Exchange, Research, Models, Stock-exchange, Contracts, Chicago Board Options Exchange Inc., Standard and Poor's 500-Stock Price Index, Stock index options, Approximation theory, Approximation

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The role of floor brokers in the supply of liquidity: an empirical analysis

Article Abstract:

The role of floor traders in the Australian Stock Market's liquidity is analyzed.

Australia, Misc Stock Exchanges, Statistical Data Included, Management, Influence, Securities industry, Australian Stock Exchange Ltd., Floor traders (Finance)

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