alexa Abstract | Does the Index Futures Destabilize the Underlying Spot Market? Some Evidence from Frensh Stock Exchange
ISSN: 2151-6219

Business and Economics Journal
Open Access

OMICS International organises 3000+ Global Conferenceseries Events every year across USA, Europe & Asia with support from 1000 more scientific Societies and Publishes 700+ Open Access Journals which contains over 50000 eminent personalities, reputed scientists as editorial board members.

Open Access Journals gaining more Readers and Citations

700 Journals and 15,000,000 Readers Each Journal is getting 25,000+ Readers

This Readership is 10 times more when compared to other Subscription Journals (Source: Google Analytics)

Research Article Open Access


This paper examines the dynamic relationship between the futures and the spot frensh market. It aims to contribute in the literature by controlling for possible disturbances in the long-run equilibrium relationship between these two markets. The univariate analysis indicates that the stock prices evolve according to two different regimes: a low volatility regime and a high volatility regime. Our contribution is to determine the dynamics of the relationship which exists between spot and futures markets using the Markov-switching model. This econometric technique provides empirical and graphic evidence allowing of whether and of how the introduction of a futures market changes the variability structure of stock prices in the underlying spot market, it allows precisely to demonstrate the variabilities regimes shifts and reveals if the variability changes transitory or permanently. Our evidence from Markov switching approach suggests that futures have influence on spot market during both calm and turbulent periods, and that the introduction of the index futures has an effect of stabilizer on the stock market.

To read the full article Peer-reviewed Article PDF image | Peer-reviewed Full Article image

Author(s): Ayadi Chiraz


Long term relathionship, Stock index futures, Cointegration, Markov-switching, Spot French market, Accounting Review, International Business, Indexation, Profitability, Time Series, Panel Data, Empirical Analysis, Stock Market Returns, Human Capital, Monetary Policy , Small Firms, Business Cycle, Banking Research Studies, Capital Structure, Economics Studies, Financial plan, Fiscal and tax policies , Avenues of Investment, Wealth Management, Business Theory, Organizational studies, Parameter Estimation

Share This Page

Additional Info

Loading Please wait..
Peer Reviewed Journals
Make the best use of Scientific Research and information from our 700 + peer reviewed, Open Access Journals
International Conferences 2017-18
Meet Inspiring Speakers and Experts at our 3000+ Global Annual Meetings

Contact Us

© 2008-2017 OMICS International - Open Access Publisher. Best viewed in Mozilla Firefox | Google Chrome | Above IE 7.0 version