Media type: E-Article Title: Volatility and trading demands in stock index futures Contributor: Pan, Ming‐Shiun; Liu, Y. Angela; Roth, Herbert J. Published: Wiley, 2003 Published in: Journal of Futures Markets, 23 (2003) 4, Seite 399-414 Language: English DOI: 10.1002/fut.10067 ISSN: 0270-7314; 1096-9934 Keywords: Economics and Econometrics ; Finance ; General Business, Management and Accounting ; Accounting Origination: Footnote: Description: AbstractIn this study we examine how volatility and the futures risk premium affect trading demands for hedging andspeculation in the S&P 500 Stock Index futures contracts. To ascertain if different volatility measures matterin affecting the result, we employ three volatility estimates. Our empirical results show a positive relationbetween volatility and open interest for both hedgers and speculators, suggesting that an increase in volatilitymotivates both hedgers and speculators to engage in more trading in futures markets. However, the influence ofvolatility on futures trading, especially for hedging, is statistically significant only when spot volatility isused. We also find that the demand to trade by speculators is more sensitive to changes in the futures riskpremium than is the demand to trade by hedgers. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:399–414,2003