PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2007 | nr 80 | 148-164
Tytuł artykułu

Wpływ wprowadzenia indeksowych kontraktów terminowych na zmienność kasowego rynku na GPW w Warszawie S.A.

Autorzy
Warianty tytułu
Effect of Introduction of Index Futures on Stock Market Volatility : the Case of the Warsaw Stock Exchange
Języki publikacji
PL
Abstrakty
Dotychczas w literaturze przedmiotu brakuje opracowań, które zawierałyby badania dotyczące polskiego rynku indeksowych kontraktów futures. Dlatego też celem artykułu będzie zbadanie wpływu wprowadzenia kontraktu terminowego na WIG20 (FW20) na zmienność rynku tego indeksu. W tym celu, na próbie obserwacji dokonanych w latach 1994-2006, autorka posłuży się rodziną jednorównaniowych modeli GARCH, wprowadzając do równania wariancji warunkowej addytywną zmienną zerojedynkową. Podjęta zostanie również próba wykazania istnienia jakiegokolwiek związku pomiędzy poziomem obrotu kontraktami futures (już po ich wprowadzeniu) a zmiennością stóp zwrotu z WIG20. W celu dokładniejszego zbadania charakteru wpływu informacji płynących z rynku terminowego na zmienność rynku kasowego zostaną one rozdzielone na komponenty oczekiwane przez rynek oraz informacje nieoczekiwane. Przy pomocy modelu ARIMA dokonana zostanie dekompozycja szeregów czasowych wolumenu obrotów oraz liczby otwartych pozycji FW20 na elementy oczekiwane i nieoczekiwane, które stanowić będą dodatkowe zmienne w równaniu wariancji warunkowej. (fragment tekstu)
EN
Since the introduction of financial futures during the 1970s, the effect of financial derivatives trading on the underlying spot markets has been of great interest to both academics and practitioners. One of the primary issues widly investigated by finance researchers is whether futures trading increases the price volatility of underlying stock markets and thus leads to a destabilization of the markets. Previous studies document mixed evidence on the effect of futures trading in various market environments including the U.S. This paper provides evidence on the securities market in Poland, which introduced index futures trading on Warsaw Stock Exchange (WSE) in January 1998. Using a model that captures the heteroskedasticity in returns, that characterize stock market returns, the autor has examined the effect of the introduction of the WIG20 futures contracts on the underlying spot market volatility. The examination of the model, separately, for the pre and post futures period proved that the nature of the GARCH process has changed after the introducion of the futures trading. Prefutures, the effect of information was persistent over time. This persistence has disappeared after futures contracts started trading. This might suggest increased market efficiency, since all information is incorporated into prices immediately. It is important to emphasize that although the autor has aought to analyze the impact of the introduction of futures on spot market volatility, in reality the listing of index derivative contracts is a hardly exogenous event. The listing is usually preceded by many decisions made by regulators and stock exchange offocials, who in turn may be reacting to world developments. Further, it is quite possible that the introducion of futures has diffrent impact on spot volatility depending on the trading mechanisms, contract designs and regulatory environments. This might explain the rather mixed results reached by researchers in different markets. Further research needs to explore the relationship between these factors and the nature of spot market volatility before and after derivatives trading began. (original abstract)
Rocznik
Numer
Strony
148-164
Opis fizyczny
Twórcy
Bibliografia
  • Antoniou A., Holmes P., Futures Trading Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH, Journal of Banking & Finance 1995, vol. 19, s. 117-129.
  • Antoniou A., Holmes P., Priestley R., The Effects of Stock Index Futures Trading on Stock Index Volatility: An Analysis of the Asymmetric Response of Volatility to News, Journal of Futures Markets 1998, vol. 18, s. 151-166.
  • Bessembinder H., Seguin P.J., Futures Trading Activity and Stock Price Volatility, Journal of Finance 1992, vol. 47, s. 2015-2034.
  • Bollerslev T., Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics 1986, vol. 31, s. 307-327.
  • Bologna P., Cavallo L., Does the Introduction of Stock Index Futures Effectively Reduce Stock Market Volatility? Is the 'Futures Effect' Immediate? Evidence from the Italian Stock Exchange Using GARCH, Applied Financial Economics 2002, vol. 12, s. 183-192.
  • Bray M., Futures Trading, Rational Expectations and the Efficient Market Hypothesis, Econometrica 1981, vol. 49, s. 575-596.
  • Brorsen B.W., Futures Trading, Transaction Costs and Stock Market Volatility, Journal of Futures Markets 1991, vol. 11, s. 153-163.
  • Chang E.C., Cheng J.W., Pinegar J.M., Does Futures Trading Increase Stock Market Volatility? The Case of the Nikkei Stock Index Futures Markets, Journal of Banking & Finance 1999, vol. 23, s. 727-753.
  • Cox C.C., Futures Trading and Market Information, Journal of Political Economy 1976, vol. 84, s. 1215-1237.
  • Danthine J.P., Information, Futures Prices and Stabilizing Speculation, Journal of Economic Theory 1978, vol. 17, s. 79-98.
  • Doman M., Doman R., Ekonometryczne modelowanie dynamiki polskiego rynku finansowego, Wydawnictwo Akademii Ekonomicznej w Poznaniu, Poznań 2004, s. 238.
  • Engle R., Ng V., Measuring and Testing the Impact of News on Volatility, Journal of Finance 1993, vol. 48, s. 1749-1778.
  • Engle R.F., Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of the United Kingdom Inflation, Econometrica 1982, vol. 50, s. 987-1008.
  • Fama E.F., The Behavior of Stock Market Prices, Journal of Business, 1965, vol. 38, s. 34-105.
  • Finglewski S., Futures Trading Volatility in the GNMA Market, Journal of Finance 1981, vol. 36, s. 445-456.
  • Gulen H., Mayhew S., Stock Index Futures Trading and Volatility in International Equity Markets, Journal of Futures Markets 2000, vol. 20, 661-686.
  • Harris L., S&P 500 Cash Stock Price Volatilities, Journal of Finance 1989, vol. 46, s. 1155-1175.
  • Kumar R., Sarin A., Shastri K., The Impact of the Listing of Index Options on the Underlying Stocks, Pacific-Basin Finance Journal 1995, vol. 3, s. 303-317.
  • Kyle A.S., Continuous Auction and Insider Trading, Econometrica 1985, vol. 53, s. 1315-1335.
  • Laatsch F.E., A Note on the Effects of the Initiation of Major Market Index Futures on the Daily Returns of the Component Stocks, Journal of Futures Markets 1991, vol. 11, s. 313-317.
  • Lee S.B., Ohk K.Y., Stock Index Futures Listing and Structural Change in Time Varying Volatility, Journal of Futures Markets 1992, vol. 12, s. 493-509.
  • Maberly E.D., Allen D.S., Gilbert R.E., Stock Index Futures and Cash Market Volatility, Financial Analysts Journal 1989, vol. 45, s. 75-77.
  • Mandelbrot B., The Variation of Certain Speculative Prices, Journal of Business 1963, vol. 36, s. 394-419.
  • Pagan A., Schwert G.W., Alternative Models for Conditional Stock Volatility, Journal of Econometrics 1990, vol. 45, s. 267-290.
  • Powers M.J., Does Futures Trading Reduce Price Fluctuations in the Cash Market?, American Economic Review 1970, vol. 60, s. 460-464.
  • Ross S.A., Information and Volatility: The No-arbitrage Martingale Approach to Timing and Resolution Irrelevancy, Journal of Finance 1989, vol. 44, s. 1-17.
  • Salih A.A., Kurtas V., The Impact of Stock Index Futures Introduction on the Distributional Characteristics of the Underlying Index: An International Perspective, Working Paper 1999, Bilkent University.
  • Stein J.C., Information Externalities and Welfare-reducing Speculation, Journal of Political Economy 1987, vol. 95, s. 1123-1145.
  • Stoll H.R., Whaley R.E., Volatility and Futures: Message Versus Messenger, Journal of Portfolio Management 1988, vol. 14, s. 20-22.
  • Swartz T.V., Laatsch F., Price Discovery and Risk Transfer in Stock Index Cash and Futures Markets, Journal of Futures Markets 1991, vol. 11, s. 669-683.
  • Taylor S.J., Modeling Financial Time Series, Wiley, Chichester 1986.
  • Thenmozhi M., Futures Trading, Information and Spot Price Volatility of NSE-50 Index Futures Contracts, Working Paper 2001, National Stock Exchange of India.
  • Weller P., Yano M., Forward Exchange, Futures Trading, and Spot Price Variability: A General Equilibrium Approach, Econometrica 1987, vol. 55, 1433-1450.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171222765
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.