Volatility Impact of Stock Index Futures Trading - A Revised Analysis

摘要

The recent financial crisis renewed concerns about a possible destabilizing impactof derivatives trading. Despite a very active research, the question whether or notderivatives tend to destabilize financial markets has not yet been answered tosatisfaction. This contribution aims to revise the robustness of recent empiricalfindings and to remedy some methodological shortcomings of earlier studies.Acknowledging their practical relevance, we focus on futures and examine thevolatility impact of DAX futures trading. Our results confirm a volatility-reducingimpact of DAX futures trading, whereas the observed deterioration of thefundamental price building process proved to be statistically insignificant.