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ArticleNew trading practices and short‐run market efficiency

Kenneth A. Froot1995

Article1995

New trading practices and short‐run market efficiency

Kenneth A. Froot · André F. Perold

53 citations·0/0 files stored·Journal of Futures Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Market Dynamics and Volatility

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References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1989Why Does Stock Market Volatility Change Over Time?1977Estimating betas from nonsynchronous data 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1988Mean reversion in stock prices 1987Mean Reversion in Stock Prices: Evidence and Implications

Cited by

2012Multifractal detrended fluctuation analysis of the Chinese stock index futures market 2004Modelling Realized Variance when Returns are Serially Correlated 2007Securities Transaction Tax and Market Efficiency: Evidence from the Japanese Experience 1999Dispersion and Volatility in Stock Returns: An Empirical Investigation 2022Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models

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Year1995

Typearticle

Published1995-10-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations53

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.3990150702

openalex_workW1991244129

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2023

The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns

2004INFORMATION, TRADING VOLUME AND INTERNATIONAL STOCK MARKET COMOVEMENTS