Abstract
This study uses an EGARCH methodology to investigate the impact of index futures trading on the price volatility of two European stock markets. The results show that index futures trading has changed the distribution of stock returns in Denmark and France, however, it has not increased stock price volatility. There is evidence that futures trading has dampened stock price fluctuations in France. The results further show that stocks in Denmark and France exhibit strong volatility persistence and asymmetry, especially during the post-futures period.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
