Market volatility and the demand for hedging in stock index futures

Authors
Chang, E Chou, RY Nelling, EF
Citation
E. Chang et al., Market volatility and the demand for hedging in stock index futures, J FUT MARK, 20(2), 2000, pp. 105-125
Citations number
34
Categorie Soggetti
Economics
Journal title
JOURNAL OF FUTURES MARKETS
ISSN journal
02707314 → ACNP
Volume
20
Issue
2
Year of publication
2000
Pages
105 - 125
Database
ISI
SICI code
0270-7314(200002)20:2<105:MVATDF>2.0.ZU;2-P
Abstract
This study examines the relation between stock market volatility and the de mand for hedging in S&P 500 stock index futures contracts. Open interest is used as a proxy for hedging demand, The analysis employs unique data that identify separately the open interest of large hedgers, large speculators, and smaller traders. Volatility estimates are decomposed into expected and unexpected components, to assess whether traders' reactions to volatility d epend upon its predictability.