SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets
16 references·1 citing·37 second hop
An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets (2006)An empirical analysis of the price discov…The lead-lag relationship between the FTSE100 stock index and its derivative contracts (2001)The lead-lag relationship bet…An examination of the relationship between stock index cash and futures markets: A cointegration approach (1998)An examination of the relatio…Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)Trading costs and the relativ…Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures markets (1995)Return and volatility dynamic…Why Option Prices Lag Stock Prices: A Trading-Based Explanation (1993)Why Option Prices Lag Stock P…Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach (1993)Price dynamics and error corr…A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…Put-Call Parity and Expected Returns (1991)Put-Call Parity and Expected …Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Intraday Volatility in the St…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets (1990)Intraday Price Change and Tra…The Interrelation of Stock and Options Market Trading-Volume Data (1988)The Interrelation of Stock an…The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index (1987)The Temporal Price Relationsh…Price Changes of Related Securities: The Case of Call Options and Stocks (1987)Price Changes of Related Secu…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Option Prices as Predictors of Equilibrium Stock Prices (1982)Option Prices as Predictors o…A Tale of Two Index Futures: The Intraday Price Discovery and Volatility Transmission Processes Between the China Financial Futures Exchange and the Singapore Exchange (2013)A Tale of Two Index Futures: …Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100 (2001)Some Recent Developments in Futures Hedging (2002)Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico (2004)The Pricing of Options and Corporate Liabilities (1973)Expected stock returns and volatility (1987)Price discovery in the German equity index derivatives markets (1999)Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks (2003)Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models (2008)High frequency data in financial markets: Issues and applications (1997)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Multivariate tests of financial models (1982)Continuous Auctions and Insider Trading (1985)Information, Trade, and Derivative Securities: Table 1 (1996)Informational Content of Option Volume Prior to Takeovers (2005)Is there price discovery in equity options? (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Predicting Volatility in the Foreign Exchange Market (1995)From value at risk to stress testing: The extreme value approach (2000)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)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)The option to stock volume ratio and future returns (2012)The Relation Between Price Changes and Trading Volume: A Survey (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Trading in Stock Index Futures (1991)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Intraday Price Formation in U.S. Equity Index Markets (2003)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index503 cited
  • 1990Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets444 cited
  • 1991Intraday Volatility in the Stock Index and Stock Index Futures Markets440 cited
  • 1996Trading costs and the relative rates of price discovery in stock, futures, and option markets424 cited
  • 1982Option Prices as Predictors of Equilibrium Stock Prices415 cited
  • 1993Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach239 cited
  • 1993Why Option Prices Lag Stock Prices: A Trading-Based Explanation215 cited
  • 1988The Interrelation of Stock and Options Market Trading-Volume Data207 cited
  • 1987Price Changes of Related Securities: The Case of Call Options and Stocks192 cited
  • 1995Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures markets146 cited
  • 1998An examination of the relationship between stock index cash and futures markets: A cointegration approach

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

145 cited
  • 1991Put-Call Parity and Expected Returns80 cited
  • 2001The lead-lag relationship between the FTSE100 stock index and its derivative contracts34 cited
  • Cited by

    • 2013A Tale of Two Index Futures: The Intraday Price Discovery and Volatility Transmission Processes Between the China Financial Futures Exchange and the Singapore Exchange23 cited