Derivatives trading and volatility spill-over: evidence from a developing derivatives market
The objective of the paper is to ascertain the influence of shares derivatives trading on the Malaysian stock market. Johansen-Juselius’ co-integration test reveals signs of increasing integration between these cash and futures markets over time. The Granger causality test indicates that the stock i...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Putra Malaysia Press
2013
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| Online Access: | http://psasir.upm.edu.my/id/eprint/28373/1/28373.pdf http://psasir.upm.edu.my/id/eprint/28373/ http://www.pertanika.upm.edu.my/Pertanika%20PAPERS/JSSH%20Vol.%2021%20%28S%29%20Oct.%202013/04%20Page%2057-70.pdf |
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