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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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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my.upm.eprints.283732015-09-21T02:42:23Z http://psasir.upm.edu.my/id/eprint/28373/ Derivatives trading and volatility spill-over: evidence from a developing derivatives market Muhammad, Junaina Amin Noordin, Bany Ariffin Yahya, Mohamed Hisham 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 index futures Granger causes the cash index with no feedback in the reverse direction during periods of financial crisis and recovery. Significantly observable during the period was high participation of foreign investors in the futures market. The increase in the number of foreign investors in the futures market dramatically increases the herding activities in futures market trading. The findings suggest that the transmission of information from the futures market to the cash market could, to a certain extent, during a period of “bad economy”, be due to herding by foreign investors. Universiti Putra Malaysia Press 2013-10 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/28373/1/28373.pdf Muhammad, Junaina and Amin Noordin, Bany Ariffin and Yahya, Mohamed Hisham (2013) Derivatives trading and volatility spill-over: evidence from a developing derivatives market. Pertanika Journal of Social Sciences & Humanities, 21 (spec. Oct.). pp. 57-70. ISSN 0128-7702; ESSN: 2231-8534 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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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 index futures Granger causes the cash index with no feedback in the reverse direction during periods of financial crisis and recovery. Significantly observable
during the period was high participation of foreign investors in the futures market. The increase in the number of foreign investors in the futures market dramatically increases the herding activities in futures market trading. The findings suggest that the transmission of information from the futures market to the cash market could, to a certain extent, during a period of “bad economy”, be due to herding by foreign investors. |
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Article |
author |
Muhammad, Junaina Amin Noordin, Bany Ariffin Yahya, Mohamed Hisham |
spellingShingle |
Muhammad, Junaina Amin Noordin, Bany Ariffin Yahya, Mohamed Hisham Derivatives trading and volatility spill-over: evidence from a developing derivatives market |
author_facet |
Muhammad, Junaina Amin Noordin, Bany Ariffin Yahya, Mohamed Hisham |
author_sort |
Muhammad, Junaina |
title |
Derivatives trading and volatility spill-over: evidence from a developing derivatives market |
title_short |
Derivatives trading and volatility spill-over: evidence from a developing derivatives market |
title_full |
Derivatives trading and volatility spill-over: evidence from a developing derivatives market |
title_fullStr |
Derivatives trading and volatility spill-over: evidence from a developing derivatives market |
title_full_unstemmed |
Derivatives trading and volatility spill-over: evidence from a developing derivatives market |
title_sort |
derivatives trading and volatility spill-over: evidence from a developing derivatives market |
publisher |
Universiti Putra Malaysia Press |
publishDate |
2013 |
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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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