The Relationship Between the Volatilities of the S&P 500 Index and Futures Contracts Implicit in Their Call Option Prices: I. INTRODUCTION

The volatility of the stock market is a matter of great concern to investors. The high level of market volatility has attracted regulatory attention since the crash of Octo ber 19, 1987. The stock market is believed to be more volatile now than it has been in the past. Investor surveys conducted aft...

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Bibliographic Details
Published in:The journal of futures markets 1990-06, Vol.10 (3), p.273
Main Authors: Li-Ming, Han, Misra, Lalatendu
Format: Article
Language:English
Subjects:
Dividends
Estimates
Foreign exchange rates
Futures market
Hypotheses
Interest rates
Investments
Put & call options
Securities markets
Securities prices
Stochastic models
Stock exchanges
Volatility
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Summary:The volatility of the stock market is a matter of great concern to investors. The high level of market volatility has attracted regulatory attention since the crash of Octo ber 19, 1987. The stock market is believed to be more volatile now than it has been in the past. Investor surveys conducted after the crash suggest that the increased volatility of the market and the ensuing loss of investor confidence has caused many investors to stay out of the market. Some recent estimates of market volatility are based on inter-day price movement. Volatility measures that take into account the long-term future prospects of the market are desirable measures from the perspective of long-term investors.
ISSN:0270-7314
1096-9934