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The effect of spot and futures trading on stock index market volatility: A nonparametric approach
16 references·3 citing·45 second hop
The effect of spot and futures trading on stock index market volatility: A nonparametric approach (2003)The effect of spot and futures trading on…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks (2001)The Introduction of Derivativ…The Effect of Futures Market Volume on Spot Market Volatility (2001)The Effect of Futures Market …The dynamic relationship of volatility, volume, and market depth in currency futures markets (1999)The dynamic relationship of v…The effects of stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news (1998)The effects of stock index fu…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Long-Run Economic Relationships: Readings in Cointegration. (1993)Long-Run Economic Relationshi…Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close (1992)Trading Halts and Market Acti…Stock index futures listing and structural change in time‐varying volatility (1992)Stock index futures listing a…Periodic market closure and trading volume (1992)Periodic market closure and t…Intraday patterns in the S&P 500 index futures market (1992)Intraday patterns in the S&P …Futures‐Trading Activity and Stock Price Volatility (1992)Futures‐Trading Activity and …Futures-Trading Activity and Stock Price Volatility (1992)Futures-Trading Activity and …Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Intraday Volatility in the St…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach (2008)The dynamics of a nonlinear r…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…New evidence on expiration-day effects usingrealized volatility: An intraday analysis for the Spanish stock exchange (2006)New evidence on expiration-da…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)THE POWER OF COINTEGRATION TESTS (1992)Numerical distribution functions for unit root and cointegration tests (1996)Residual-based tests for cointegration in models with regime shifts (1996)A Theory of the Term Structure of Interest Rates (1985)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Trading Patterns and Prices in the Interbank Foreign Exchange Market (1993)High frequency data in financial markets: Issues and applications (1997)Price Discovery and Trading After Hours (2003)The General Theory of Employment, Interest and Money. (1936)Expected stock returns and volatility (1987)Why Does Stock Market Volatility Change Over Time? (1989)Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View (1994)Strategic trading, asymmetric information and heterogeneous prior beliefs (1998)The cross-section of intraday and overnight returns (2021)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University. (1998)Volatility Spreads and Expected Stock Returns (2009)The Relation Between Price Changes and Trading Volume: A Survey (1987)Noise Trader Risk in Financial Markets (1990)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Volatility forecast comparison using imperfect volatility proxies (2010)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies (1987)Bid-ask spreads in the interbank foreign exchange markets (1994)Temporal relationships and dynamic interactions between spot and futures stock markets (1996)The Impact of Trader Type on the Futures Volatility‐Volume Relation (1999)Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis (2007)Estimating long-run relationships from dynamic heterogeneous panels (1995)The behavior of real exchange rates during the post-Bretton Woods period (1998)Tourism expansion and economic development: The case of Taiwan (2005)
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References

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  • 1992Futures‐Trading Activity and Stock Price Volatility348 cited
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  • 1999The dynamic relationship of volatility, volume, and market depth in currency futures markets75 cited
  • 1992Intraday patterns in the S&P 500 index futures market65 cited
  • 2001The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks

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59 cited
  • 2001The Effect of Futures Market Volume on Spot Market Volatility58 cited
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    • 2008The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach88 cited
    • 2006New evidence on expiration-day effects usingrealized volatility: An intraday analysis for the Spanish stock exchange25 cited
    • 2006Role of the Futures Market on Volatility and Price Discovery of the Spot Market: Evidence from Pakistan’s Stock Market21 cited