The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study

Posted: 14 Jan 2002

See all articles by Michael D. McKenzie

Michael D. McKenzie

The University of Sydney - Discipline of Finance; University of Cambridge - Cambridge Endowment for Research in Finance (CERF); Financial Research Network (FIRN)

Robert W. Faff

University of Queensland

Abstract

In this article, we investigate the impact of the introduction of stock index futures trading on the daily returns seasonality of the underlying index for seven national markets. It has been previously argued that the introduction of futures trading should lead to reduced seasonality of mean returns, and generally our results support this conclusion. The impact of index futures introduction on return autocorrelations and volatility is also tested, and the evidence presented suggests that futures trading has no impact on the former, although a change in the seasonal for the latter was detected.

Suggested Citation

McKenzie, Michael David and Faff, Robert W., The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study. The Journal of Business, Vol. 75, No. 1, January 2002. Available at SSRN: https://ssrn.com/abstract=293363

Michael David McKenzie

The University of Sydney - Discipline of Finance ( email )

Level 2 9 Castlereagh Street
Sydney, NSW 2000
Australia
+61 2 9114 0578 (Phone)
+61 2 9351 6461 (Fax)

University of Cambridge - Cambridge Endowment for Research in Finance (CERF) ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Robert W. Faff (Contact Author)

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

Register to save articles to
your library

Register

Paper statistics

Abstract Views
1,037
PlumX Metrics
!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information