Derivatives trading and volatility spill-over: evidence from a developing derivatives market

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Derivatives trading and volatility spill-over: evidence from a developing derivatives market

The objective of the paper is to ascertain the influence of shares derivatives trading on the Malaysian stock market. Johansen-Juselius’ co-integration test reveals signs of increasing integration between these cash and futures markets over time. The Granger causality test indicates that the stock i...

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Bibliographic Details
Main Authors:	Muhammad, Junaina, Amin Noordin, Bany Ariffin, Yahya, Mohamed Hisham
Format:	Article
Language:	English
Published:	Universiti Putra Malaysia Press 2013
Online Access:	http://psasir.upm.edu.my/id/eprint/28373/ http://psasir.upm.edu.my/id/eprint/28373/1/28373.pdf

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