The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE

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dc.contributor.authorMazouz, Khelifa*
dc.contributor.authorBowe, M.*
dc.date.accessioned2009-12-18T07:07:31Z
dc.date.available2009-12-18T07:07:31Z
dc.date.issued2006
dc.descriptionNo
dc.description.abstractThis study investigates the impact of LIFFE's introduction of individual equity futures contracts on the risk characteristics of the underlying stocks trading on the LSE. We employ the Fama and French three-factor model (TFM) to measure the change in the systematic risk of the underlying stocks which arises subsequent to the introduction of futures contracts. A GJR-GARCH(1,1) specification is used to test whether the futures contract listing affects the permanent and/or the transitory component of the residual variance of returns, and a control sample methodology isolates changes in the risk components that may be caused by factors other than futures contract innovation. The observed increase (decrease) in the impact of current (old) news on the residual variance implies that futures contract listing enhances stock market efficiency. There is no evidence that futures innovation impacts on either the systematic risk or the permanent component of the residual variance of returns.en
dc.identifier.citationMazouz, K. and Bowe, M. (2006). The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE. International Review of Financial Analysis. Vol. 15, No. 1, pp. 1-20.en
dc.identifier.doihttps://doi.org/10.1016/j.irfa.2005.07.001
dc.identifier.urihttp://hdl.handle.net/10454/4153
dc.language.isoenen
dc.openaccess.statusclosed Access
dc.status.refereedYes
dc.subjectIndividual Equity Futures
dc.subjectThree Factor Model
dc.subjectGJR-GARCH(1
dc.subject1)
dc.titleThe volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFEen
dc.typeArticle
dc.type.versionNo full-text in the repository
dspace.entity.typePublication
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