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Article: Speculative activity and stock market volatility

TitleSpeculative activity and stock market volatility
Authors
KeywordsSpeculations
Volatility
Issue Date1998
PublisherElsevier Inc. The Journal's web site is located at http://www.elsevier.com/locate/jeb
Citation
Journal Of Economics And Business, 1998, v. 50 n. 4, p. 323-337 How to Cite?
AbstractThis paper examines the impact of speculative futures trading on the volatility of the S&P 500 index. The empirical approach taken allows for more specific inferences regarding whether speculators ought to be targeted for regulation. There is no evidence that speculators contribute to market volatility. Although there are strong indications that futures open interest is contemporaneously related to cash market volatility, volatility and speculative are only weakly related. Further, there is an absence of causality between cash market volatility and speculative commitments. The study also distinguishes between a possible impact of contract size and number of traders. We document a positive contemporaneous relationship between cash market volatility and the size of the commitments of large speculators. However, there is no evidence that the changes in the number of speculators or the size of their holdings result in increased levels of interday or intraday cash market volatility. Based on the findings, the proposals for further regulation directed at stock index speculation seem unwarranted. © 1998 Elsevier Science Inc.
Persistent Identifierhttp://hdl.handle.net/10722/85724
ISSN
References

 

DC FieldValueLanguage
dc.contributor.authorChatrath, Aen_HK
dc.contributor.authorRamchander, Sen_HK
dc.contributor.authorSong, Fen_HK
dc.date.accessioned2010-09-06T09:08:27Z-
dc.date.available2010-09-06T09:08:27Z-
dc.date.issued1998en_HK
dc.identifier.citationJournal Of Economics And Business, 1998, v. 50 n. 4, p. 323-337en_HK
dc.identifier.issn0012-9933en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85724-
dc.description.abstractThis paper examines the impact of speculative futures trading on the volatility of the S&P 500 index. The empirical approach taken allows for more specific inferences regarding whether speculators ought to be targeted for regulation. There is no evidence that speculators contribute to market volatility. Although there are strong indications that futures open interest is contemporaneously related to cash market volatility, volatility and speculative are only weakly related. Further, there is an absence of causality between cash market volatility and speculative commitments. The study also distinguishes between a possible impact of contract size and number of traders. We document a positive contemporaneous relationship between cash market volatility and the size of the commitments of large speculators. However, there is no evidence that the changes in the number of speculators or the size of their holdings result in increased levels of interday or intraday cash market volatility. Based on the findings, the proposals for further regulation directed at stock index speculation seem unwarranted. © 1998 Elsevier Science Inc.en_HK
dc.languageengen_HK
dc.publisherElsevier Inc. The Journal's web site is located at http://www.elsevier.com/locate/jeben_HK
dc.relation.ispartofJournal of Economics and Businessen_HK
dc.rightsJournal of Economics and Business. Copyright © Elsevier Inc.en_HK
dc.subjectSpeculationsen_HK
dc.subjectVolatilityen_HK
dc.titleSpeculative activity and stock market volatilityen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0148-6195&volume=0148-6195/98&spage=15&epage=&date=1998&atitle=Speculative+Activity+and+Stock+Market+Volatilityen_HK
dc.identifier.emailSong, F: fmsong@hkucc.hku.hken_HK
dc.identifier.authoritySong, F=rp01095en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/S0148-6195(98)00007-1-
dc.identifier.scopuseid_2-s2.0-11144297586en_HK
dc.identifier.hkuros36180en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-11144297586&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume50en_HK
dc.identifier.issue4en_HK
dc.identifier.spage323en_HK
dc.identifier.epage337en_HK
dc.identifier.scopusauthoridChatrath, A=6701310668en_HK
dc.identifier.scopusauthoridRamchander, S=6603648934en_HK
dc.identifier.scopusauthoridSong, F=7203075605en_HK

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