Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test

Kalok Chan; Y. Peter Chung

doi:10.1016/0378-4266(93)90006-Y

Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test

Kalok Chan
, Y. Peter Chung

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

38 Citations (Scopus)

Abstract

This paper examines intraday temporal relationships among arbitrage spreads, cash and futures price volatility, and cash trading volume, using transactions data for the Major Market Index futures contracts and the component stocks of the index. Results indicate that changes in the spread have a significant impact on cash and futures price volatility as well as on cash trading volume. The impact of the spread, however, is attenuated by the short-sale restriction in the cash market. Contrary to popular beliefs, a more volatile market leads to subsequent decreases in the spread, probably because of increases in the supply of arbitrage services or faster price adjustments. © 1993.

Original language	English
Pages (from-to)	663-687
Journal	Journal of Banking and Finance
Volume	17
Issue number	4
DOIs	https://doi.org/10.1016/0378-4266(93)90006-Y
Publication status	Published - Jun 1993
Externally published	Yes

Bibliographical note

Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

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title = "Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test",

abstract = "This paper examines intraday temporal relationships among arbitrage spreads, cash and futures price volatility, and cash trading volume, using transactions data for the Major Market Index futures contracts and the component stocks of the index. Results indicate that changes in the spread have a significant impact on cash and futures price volatility as well as on cash trading volume. The impact of the spread, however, is attenuated by the short-sale restriction in the cash market. Contrary to popular beliefs, a more volatile market leads to subsequent decreases in the spread, probably because of increases in the supply of arbitrage services or faster price adjustments. {\textcopyright} 1993.",

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note = "Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected]. ",

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T2 - A transactions data test

AU - Chan, Kalok

AU - Chung, Y. Peter

N1 - Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

PY - 1993/6

Y1 - 1993/6

N2 - This paper examines intraday temporal relationships among arbitrage spreads, cash and futures price volatility, and cash trading volume, using transactions data for the Major Market Index futures contracts and the component stocks of the index. Results indicate that changes in the spread have a significant impact on cash and futures price volatility as well as on cash trading volume. The impact of the spread, however, is attenuated by the short-sale restriction in the cash market. Contrary to popular beliefs, a more volatile market leads to subsequent decreases in the spread, probably because of increases in the supply of arbitrage services or faster price adjustments. © 1993.

AB - This paper examines intraday temporal relationships among arbitrage spreads, cash and futures price volatility, and cash trading volume, using transactions data for the Major Market Index futures contracts and the component stocks of the index. Results indicate that changes in the spread have a significant impact on cash and futures price volatility as well as on cash trading volume. The impact of the spread, however, is attenuated by the short-sale restriction in the cash market. Contrary to popular beliefs, a more volatile market leads to subsequent decreases in the spread, probably because of increases in the supply of arbitrage services or faster price adjustments. © 1993.

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UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-38249003304&origin=recordpage

U2 - 10.1016/0378-4266(93)90006-Y

DO - 10.1016/0378-4266(93)90006-Y

M3 - RGC 21 - Publication in refereed journal

SN - 0378-4266

VL - 17

SP - 663

EP - 687

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

IS - 4

ER -

Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test

Abstract

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