References

• 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
• 1986Stock return variances1,813 cited
• 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
• 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
• 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 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
• 1995Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH290 cited
• 1999Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets86 cited
• 2001Relative informational efficiency of cash, futures, and options markets: The case of an emerging market66 cited
• 2000Intraday price reversals for index futures in the US and Hong Kong64 cited
• 1995Standard & Poor's 500 Index Futures Volatility and Price Changes Around the New York Stock Exchange Close51 cited
• 1997The intraday pricing efficiency of Hong Kong Hang Seng Index options and futures markets30 cited
• 1995The information content of end-of-the-day index futures returns: International evidence from the Osaka Nikkei 225 futures contract