Publicação
Open and closed positions and stock index futures volatility
| dc.contributor.author | Carchano, Óscar | |
| dc.contributor.author | Lucia, Julio | |
| dc.contributor.author | Pardo, Ángel | |
| dc.date.accessioned | 2012-04-19T14:05:36Z | |
| dc.date.available | 2012-04-19T14:05:36Z | |
| dc.date.issued | 2011-07 | |
| dc.description.abstract | In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it. | por |
| dc.identifier.uri | http://hdl.handle.net/10400.21/1406 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.subject | Volatility | por |
| dc.subject | Open interest | por |
| dc.subject | Trading volume | por |
| dc.title | Open and closed positions and stock index futures volatility | por |
| dc.type | conference object | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | XII Iberian-Italian Congress of Financial and Actuarial Mathematics | por |
| rcaap.rights | openAccess | por |
| rcaap.type | conferenceObject | por |