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Unformatted text preview: See: Stoll, H. and R. Whaley, 1990, "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis 25,441-468. Chan, K., K.C. Chan and G.A. Karolyi, 1991, "Intraday Volatility in the Stock Index and Stock Index Futures Markets," Review of Financial Studies 4, 657-684. - Managed Futures do not beat the market. http://www.cbot.com/cbot/docs/782.pdf II Volatility Does futures trading increase the volatility in the underling asset? - Oct 1987 and portfolio insurance - Introduction of futures contracts increased the volatility of S&P 500 stocks See: Lawrence Harris S&P 500 Cash Stock Price Volatilities. Journal of Finance , Vol. 44, No. 5. (Dec., 1989), pp. 1155-1175....
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This note was uploaded on 04/12/2008 for the course ECON 435 taught by Professor Chabot during the Winter '08 term at University of Michigan.
- Winter '08