Futures Trading and Equity Market Volatility

摘要：

This article examines the relationship between trading demand by the type of traders in the S&P 500 index futures market and the volatility of the underlying asset using the CFTCs COT data that give futures positions of categorized traders.The trading demand is proxied by the net futures position.We find that after controlling for the effect of the overall trading activities,the equity market volatility is negatively associated with signed demand shocks of speculators,but positively related to the signed hedging demand shocks.Consistent with the portfolio insurance hypothesis that the actions of portfolio insurers result in distinct demand-volatility relationships across trader types,our results suggest that the hedging activities rather than the speculative futures trading have a destabilizing effect on the stock market.

关键词： S&P 500 index futures trading demand equity market volatility

作者: Changyun Wang

作者单位: School of Finance,Renmin University of China,Beijing 100872

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 123-129

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）