Autori: Albulescu Claudiu Tiberiu, Tiwari Aviral Kumar

Editorial: Journal of Economic and Financial Modelling, 1, p.14-26, 2013.

Rezumat:

The present paper analyzes the relationship between the
volume of transactions with equity index futures and the return
volatility of their underlying assets. The study addresses the case of
five stock markets, members of the Euronext.liffe, namely:
Amsterdam,Brussels, Lisbon, London and Paris. The novelty of our
paper is the use of the hidden cointegration technique to highlight
the asymmetric relationship between derivatives and financial
volatility. For this purpose we determine both the historical and
conditional volatility of stock index returns. The results show that, in
general, the hidden cointegration can be observed in case of small
stock markets as Brussels and Lisbon, where both speculative and
hedging activitiesare present. In case of the largest stock markets, the
hidden cointegration is less obvious and the strategic investments
prevail. In addition, the existence of hidden cointegration
relationships is better revealed when we consider the historical
volatility. However, our results are sensitive to the methodology of
computing the financial volatility or to the approach of assessing the
hidden cointegration.

Cuvinte cheie: hidden cointegration, equity index futures, financial volatility, Euronext.liffe // hidden cointegration, equity index futures, financial volatility, Euronext.liffe

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