The predictability of futures and cash returns by derivatives volume

Ralf Östermark; Teppo Martikainen; Jaana Aaltonen

doi:10.1080/758518997

The predictability of futures and cash returns by derivatives volume

Ralf Östermark, Teppo Martikainen, Jaana Aaltonen

Department of Accounting

Research output: Contribution to journal › Article › Scientific › peer-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 language	English
Pages (from-to)	391-393
Number of pages	3
Journal	Applied Economics Letters
Volume	2
Issue number	10
DOIs	https://doi.org/10.1080/758518997
Publication status	Published - 1995
MoE publication type	A1 Journal article-refereed

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title = "The predictability of futures and cash returns by derivatives volume",

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.",

author = "Ralf {\"O}stermark and Teppo Martikainen and Jaana Aaltonen",

year = "1995",

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journal = "Applied Economics Letters",

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AU - Martikainen, Teppo

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AB - 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.

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VL - 2

SP - 391

EP - 393

JO - Applied Economics Letters

JF - Applied Economics Letters

IS - 10

ER -

The predictability of futures and cash returns by derivatives volume

Abstract

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