دانلود مقاله ISI انگلیسی شماره 45639
عنوان فارسی مقاله

فعالیت های تجاری در بازار سرمایه و مطالبات موکول به آینده آن: بررسی تجربی

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
45639 2014 23 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Trading activity in the equity market and its contingent claims: An empirical investigation ☆
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Empirical Finance, Volume 28, September 2014, Pages 13–35

کلمات کلیدی
دوره - مشتقات - بازارهای شاخص سرمایه
پیش نمایش مقاله
پیش نمایش مقاله فعالیت های تجاری در بازار سرمایه و مطالبات موکول به آینده آن: بررسی تجربی

چکیده انگلیسی

Little is known about the joint dynamics of volume across the various contingent claims on the equity market. We study the time-series of trading activity in the cash S&P 500 index and its derivatives (options, the legacy and E-mini futures contracts, and the ETF), and consider their dynamic relation with the macroeconomy, over more than 3000 trading days during 1997–2009. Legacy futures volume has trended downward while other series have trended upward. Total futures volume has increased, suggesting that the trading in the legacy contract has been at least partially supplanted by trading in the E-mini contract. All series are highly cross-correlated and jointly dependent. Signed and absolute trading activity in contingent claims (most prominently, options) predicts shifts in aggregate state variables such as the short interest rate, and the term and credit spreads, as well as signed and absolute returns around major macroeconomic announcements. Overall, consistent with the informational role of options, their volume innovations have the strongest forecasting ability for fluctuations in the macroeconomic environment.

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