Date of Original Version
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.
Chen, S. K., Jarrett, J., & Rhee, S. G. (1995). The Impact of Futures Trading on Cash Market Volatility: Evidence from the Tokyo Stock Exchange. Research in International Business and Finance, 12, 214-250.