The innovations of e-mini contracts and futures price volatility components: The empirical investigation of S&P 500 stock index futures |
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| Affiliation: | 1. Department of Finance, National Chengchi University, 64 Sec. 2, Zhi-nan Rd., Wenshen, Taipei 11605, Taiwan;2. Department of International Business Management, Wufeng Institute of Technology, Chia-yi 621, Taiwan;1. Junior Resident, Department of Oral and Maxillofacial Surgery, Faculty of Dental Sciences, King George''s Medical Univesity, Lucknow, India;2. Professor, Department of Oral and Maxillofacial Surgery, Faculty of Dental Sciences, King George''s Medical Univesity, Lucknow, India;3. Professor and Head, Department of Oral and Maxillofacial Surgery, Faculty of Dental Sciences, King George''s Medical Univesity, Lucknow, India;4. Head of Craniofacial and Plastic Surgery, Vivekananda Hospital, Lucknow, India;5. Professor, Department of Orthodontics and Dentofacial Orthodpaedics, Faculty of Dental Sciences, King George''s Medical Univesity, Lucknow, India;6. Assistant Professor, Department of Oral and Maxillofacial Surgery, Faculty of Dental Sciences, King George''s Medical Univesity, Lucknow, India;1. Department of Microbiology and Molecular Genetics, Mie University Graduate School of Medicine, Edobashi, Tsu, Japan;2. Department of Hematology and Oncology, Mie University Graduate School of Medicine, Edobashi, Tsu, Japan;3. Division of Hematology, Department of Internal Medicine, Keio University School of Medicine, Shinjuku-ku, Tokyo, Japan;4. Division of Cellular Therapy, The Institute of Medical Science, The University of Tokyo, Minato-ku, Tokyo, Japan;2. Department of Epidemiology, Gillings School of Global Public Health, University of North Carolina at Chapel Hill, Chapel Hill, North Carolina;3. The Commonwealth Medical College, Scranton, Pennsylvania;1. Boreskov Institute of Catalysis, 630090 Novosibirsk, Russia;2. Tomsk Polytechnic University, 634050 Tomsk, Russia;1. Department of Cardiovascular Surgery, JA Nagano Koseiren Shinonoi General Hospital, Nagano, Japan;2. First Department of Surgery, University of Toyama, Toyama, Japan;3. Department of Cardiovascular Surgery, Bando Hospital, Toyama, Japan |
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| Abstract: | The effect of the initiation of e-mini stock index futures (ESIFs) on the volatility components of S&P 500 stock index futures is herein investigated. The study decomposes S&P 500 stock index-related observed volatilities into unobserved fundamental volatility and transitory noise and utilizes the decomposition to test two hypotheses: the “clientele factor hypothesis” and the “information adjustment hypothesis”. The first hypothesis proposes that the ESIFs attract more noisy traders who prefer trading the friendly-size futures contracts. The second one proposes that the innovations of ESIFs improve the information flow of the futures markets. Using a stochastic volatility model, the empirical results are consistent with both of our proposed hypotheses. |
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