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Index futures trading and stock price volatility: Evidence from Denmark and France

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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.

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  1. College of Business and Finance, University of Idaho, 83844-3178, Moscow, ID

    Mario G. Reyes

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  1. Mario G. Reyes
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Reyes, M.G. Index futures trading and stock price volatility: Evidence from Denmark and France. J Econ Finan 20, 81–88 (1996). https://doi.org/10.1007/BF02920609

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