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Has Programmed Trading Made Stock Prices More Volatile?
10 references·5 citing·34 second hop
Has Programmed Trading Made Stock Prices More Volatile? (1987)Has Programmed Trading Made Stock Prices …The Pricing of Options and Corporate Liabilities (2019)The Pricing of Options and Co…Program Trading and Expiration-Day Effects (1987)Program Trading and Expiratio…Hedging Performance and Basis Risk in Stock Index Futures (1984)Hedging Performance and Basis…The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence (1983)The relationship between spot…The pricing of stock index futures (1983)The pricing of stock index fu…Principles of Corporate Finance. (1981)Principles of Corporate Finan…Exchange and Production: Competition, Coordination, and Control (1977)Exchange and Production: Comp…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model (2020)Stock index futures trading i…Role of the Futures Market on Volatility and Price Discovery of the Spot Market: Evidence from Pakistan’s Stock Market (2006)Role of the Futures Market on…Do the Forward Sales of Real Estate Stabilize Spot Prices? (2006)Do the Forward Sales of Real …How price discovery by futures impacts the cash market (1993)How price discovery by future…The October Crash: Some Evidence on the Cascade Theory (1988)The October Crash: Some Evide…Forward contracts and futures contracts (1981)The relation between forward prices and futures prices (1981)Capital Market Equilibrium with Personal Tax (1983)Investigation of a lead‐lag relationship between spot stock indices and their futures contracts (1987)Stock index futures arbitrage: International evidence (1990)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)A transaction data study of weekly and intradaily patterns in stock returns (1986)The behavior of the volatility implicit in the prices of stock index options (1988)Stock price clustering on option expiration dates (2005)Measuring Closing Price Manipulation (2009)Cross Hedging (1981)Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach (1993)Bitcoin Futures—What use are they? (2018)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Users of the world, unite! The challenges and opportunities of Social Media (2009)A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability (1991)Daily and Intradaily Tests of European Put-Call Parity (1995)Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash (1996)Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities (1985)Informational Externalities and Welfare-Reducing Speculation (1987)Artificial intelligence and machine learning in finance: A bibliometric review (2022)The Capital Structure Puzzle (1984)The Determinants of Capital Structure Choice (1988)The theory and practice of corporate finance: evidence from the field (2001)Efficient allocation with continuous quantities (1991)Market failure or market efficiency? (1996)Income inequality and export prices across countries (2017)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1981Principles of Corporate Finance.3,634 cited
  • 2019The Pricing of Options and Corporate Liabilities461 cited
  • 1984Hedging Performance and Basis Risk in Stock Index Futures364 cited
  • 1987Program Trading and Expiration-Day Effects207 cited
  • 1983The pricing of stock index futures192 cited
  • 1983The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence174 cited
  • 1977Exchange and Production: Competition, Coordination, and Control114 cited

Cited by

  • 2006Do the Forward Sales of Real Estate Stabilize Spot Prices?93 cited
  • 2020Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model27 cited
  • 1988The October Crash: Some Evidence on the Cascade Theory25 cited
  • 1993How price discovery by futures impacts the cash market23 cited
  • 2006Role of the Futures Market on Volatility and Price Discovery of the Spot Market: Evidence from Pakistan’s Stock Market

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21 cited