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Showing 1 to 2 of 2 for “"index derivatives"”.
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Three studies in finance
… the first essay develops a measure of true stock index value which is unobservable due to infrequent trading of stocks. This new and simple measure might well prove useful in studies of, say, lead-lag relationships between cash index and index derivatives markets, and the futures basis …
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Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional …