The Impact of Derivative Tradingon the Liquidity of Stocks
01 Jan 2014-
About: The article was published on 2014-01-01 and is currently open access. It has received 1 citations till now. The article focuses on the topics: Market liquidity & Derivative (finance).
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31 Mar 2019
TL;DR: In this article, the effects of derivatives of the Vietnam Ho Chi Minh (VN) Stock Index and VN30 futures contract for the underlying stock markets were analyzed using the Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH) model.
Abstract: In this paper, we analyze the effects of derivatives of the Vietnam Ho Chi Minh (VN) Stock Index and VN30 futures contract for the underlying stock markets. We use the data taken from daily transactions in the market so that the research results will be more objective and more accurate. Specifically, we apply the Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH) model to analyze the data. The results illustrate that the occurrence of leverage effects in the profitability of VN30 and VN stock indexes and the liquidity of futures contract transactions have increased over time. The main contribution of this paper is that it is possible to predict the growth trend of derivative securities to make appropriate recommendations for investors. However, the evidence still has some limitations since it only assesses the impact of futures contracts during the specific time, which is the period of instruments that have just appeared.
4 citations
Cites background from "The Impact of Derivative Tradingon ..."
...Narasimhan and Kalra (2014) consider the impact of derivative transactions on the liquidity of underlying stocks by using liquidity price impact measures....
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31 Mar 2019
TL;DR: In this article, the effects of derivatives of the Vietnam Ho Chi Minh (VN) Stock Index and VN30 futures contract for the underlying stock markets were analyzed using the Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH) model.
Abstract: In this paper, we analyze the effects of derivatives of the Vietnam Ho Chi Minh (VN) Stock Index and VN30 futures contract for the underlying stock markets. We use the data taken from daily transactions in the market so that the research results will be more objective and more accurate. Specifically, we apply the Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH) model to analyze the data. The results illustrate that the occurrence of leverage effects in the profitability of VN30 and VN stock indexes and the liquidity of futures contract transactions have increased over time. The main contribution of this paper is that it is possible to predict the growth trend of derivative securities to make appropriate recommendations for investors. However, the evidence still has some limitations since it only assesses the impact of futures contracts during the specific time, which is the period of instruments that have just appeared.
4 citations