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

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    Publication date
    2006
    Author
    Mazouz, Khelifa
    Bowe, M.
    Keyword
    Individual Equity Futures
    Three Factor Model
    GJR-GARCH(1,1)
    Peer-Reviewed
    Yes
    
    Metadata
    Show full item record
    Abstract
    This 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.
    URI
    http://hdl.handle.net/10454/4153
    Version
    No full-text available in the repository
    Citation
    Mazouz, 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.
    Link to publisher’s version
    http://dx.doi.org/10.1016/j.irfa.2005.07.001
    Type
    Article
    Collections
    Management and Law Publications

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