Index future trading and spot market volatility in frontier markets: evidence from Ho Chi Minh Stock Exchange

DOI10.1007/S10690-020-09325-1zbMATH Open1495.91124OpenAlexW3118052454MaRDI QIDQ2166087FDOQ2166087

Authors: L. Truong, Anh Thi Kim Nguyen, Dut Van Vo 

Publication date: 23 August 2022

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-020-09325-1

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zbMATH Keywords

EGARCHHOSEindex future introductionspot market volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Title not available (Why is that?)
• Introductory econometrics for finance

Cited In (6)

• Index volatility and the put-call ratio: a tale of three markets
• The impact of stock index futures on the microstructure of spot market
• Futures trading and commodity spot market volatility: empirical evidence on selected commodities in Indian market
• The empirical study on the influence of the stock market's impact under the introduction of stock index futures
• Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?
• Analysis of the relationship between the volatility of stock index futures and spot based on long memory model

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