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2007 | nr 80 | 148--164
Tytuł artykułu

Wpływ wprowadzenia indeksowych kontraktów terminowych na zmienność kasowego rynku na GPW w Warszawie S.A.

Autorzy
Warianty tytułu
Effect of Introduction of Index Futures on Stock Market Volatility : the Case of the Warsaw Stock Exchange
Języki publikacji
PL
Abstrakty
Dotychczas w literaturze przedmiotu brakuje opracowań, które zawierałyby badania dotyczące polskiego rynku indeksowych kontraktów futures. Dlatego też celem artykułu będzie zbadanie wpływu wprowadzenia kontraktu terminowego na WIG20 (FW20) na zmienność rynku tego indeksu. W tym celu, na próbie obserwacji dokonanych w latach 1994-2006, autorka posłuży się rodziną jednorównaniowych modeli GARCH, wprowadzając do równania wariancji warunkowej addytywną zmienną zerojedynkową. Podjęta zostanie również próba wykazania istnienia jakiegokolwiek związku pomiędzy poziomem obrotu kontraktami futures (już po ich wprowadzeniu) a zmiennością stóp zwrotu z WIG20. W celu dokładniejszego zbadania charakteru wpływu informacji płynących z rynku terminowego na zmienność rynku kasowego zostaną one rozdzielone na komponenty oczekiwane przez rynek oraz informacje nieoczekiwane. Przy pomocy modelu ARIMA dokonana zostanie dekompozycja szeregów czasowych wolumenu obrotów oraz liczby otwartych pozycji FW20 na elementy oczekiwane i nieoczekiwane, które stanowić będą dodatkowe zmienne w równaniu wariancji warunkowej. (fragment tekstu)
EN
Since the introduction of financial futures during the 1970s, the effect of financial derivatives trading on the underlying spot markets has been of great interest to both academics and practitioners. One of the primary issues widly investigated by finance researchers is whether futures trading increases the price volatility of underlying stock markets and thus leads to a destabilization of the markets. Previous studies document mixed evidence on the effect of futures trading in various market environments including the U.S. This paper provides evidence on the securities market in Poland, which introduced index futures trading on Warsaw Stock Exchange (WSE) in January 1998. Using a model that captures the heteroskedasticity in returns, that characterize stock market returns, the autor has examined the effect of the introduction of the WIG20 futures contracts on the underlying spot market volatility. The examination of the model, separately, for the pre and post futures period proved that the nature of the GARCH process has changed after the introducion of the futures trading. Prefutures, the effect of information was persistent over time. This persistence has disappeared after futures contracts started trading. This might suggest increased market efficiency, since all information is incorporated into prices immediately. It is important to emphasize that although the autor has aought to analyze the impact of the introduction of futures on spot market volatility, in reality the listing of index derivative contracts is a hardly exogenous event. The listing is usually preceded by many decisions made by regulators and stock exchange offocials, who in turn may be reacting to world developments. Further, it is quite possible that the introducion of futures has diffrent impact on spot volatility depending on the trading mechanisms, contract designs and regulatory environments. This might explain the rather mixed results reached by researchers in different markets. Further research needs to explore the relationship between these factors and the nature of spot market volatility before and after derivatives trading began. (original abstract)
Rocznik
Numer
Strony
148--164
Opis fizyczny
Twórcy
Bibliografia
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Typ dokumentu
Bibliografia
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