The predictability of futures and cash returns by derivatives volume

Ralf Östermark, Teppo Martikainen, Jaana Aaltonen

Research output: Contribution to journalArticleScientificpeer-review

Abstract

The predictability of Finnish stock index futures and cash returns by the volume of stock index options and futures is investigated. Relying on Granger causality tests and vector autoregression, the results support the hypothesis that derivatives trading volume cannot be used to predict returns.
Original languageEnglish
Pages (from-to)391-393
Number of pages3
JournalAPPLIED ECONOMICS LETTERS
Volume2
Issue number10
DOIs
Publication statusPublished - 1995
MoE publication typeA1 Journal article-refereed

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