Document Type

Article

Date of Original Version

1995

Abstract

This paper has examined Japanese stock market volatility using alternative estimates of volatility and several testing procedures to compare the time periods before and after the introduction of index futures contracts. On the basis of 100 randomly selected stocks, empirical evidence from these texts indicates that futures trading had an insignificant impact on prove volatility in the cash market. The results are generally consistent with what has been reported for the U.S. market.

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