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The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange
16 references·4 citing·43 second hop
The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange (2004)The impact of the introduction of futures…Stock index futures trading and volatility in international equity markets (2000)Stock index futures trading a…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…Stock returns and volatility in emerging financial markets (1997)Stock returns and volatility …Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH (1995)Futures trading, information …ARCH modeling in finance (1992)ARCH modeling in financeS&P 500 Cash Stock Price Volatilities (1989)S&P 500 Cash Stock Price Vola…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Futures trading and cash market volatility: Stock index and interest rate futures (1988)Futures trading and cash mark…Does Futures Trading Increase Stock Market Volatility? (1988)Does Futures Trading Increase…Informational Externalities and Welfare-Reducing Speculation (1987)Informational Externalities a…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Futures Trading and Volatility in the GNMA Market (1981)Futures Trading and Volatilit…Information, futures prices, and stabilizing speculation (1978)Information, futures prices, …Futures Trading and Market Information (1976)Futures Trading and Market In…What effect did the introduction of Bitcoin futures have on the Bitcoin spot market? (2021)What effect did the introduct…Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa İstanbul (2021)Investigating the volatility …The Impact of Index Futures on Spot Market Volatility in China (2014)The Impact of Index Futures o…Impact of the introduction of derivatives on underlying volatility: evidence from India (2006)Impact of the introduction of…The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Expectations and the neutrality of money (1972)ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION (1976)Asset Prices in an Exchange Economy (1978)Further results on the informational efficiency of competitive stock markets (1978)Asset Valuation in an Experimental Market (1982)International Commodity Agreements: An obituary notice (1996)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Privatization, political risk and stock market development in emerging economies (2001)Research in emerging markets finance: looking to the future (2002)The risk return tradeoff in the long run: 1836–2003 (2007)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Essays in Positive Economics (1954)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Volume, Volatility, and New York Stock Exchange Trading Halts (1994)A simultaneous trade model of the foreign exchange hot potato (1997)Convergence trading with wealth effects: an amplification mechanism in financial markets (2001)The Behavior of Stock-Market Prices (1965)Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH (2002)Index futures and positive feedback trading: evidence from major stock exchanges (2004)Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico (2004)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Rational Expectations and the Theory of Price Movements (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The degree of price resolution: The case of the gold market (1985)Index- Based Futures And Options Markets In Real Estate (1993)The Use of Knowledge in Society (1996)Theory of Rational Option Pricing (1973)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Transactions, Volume, and Volatility (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Theory of rational option pricing (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1997Stock returns and volatility in emerging financial markets465 cited
  • 1987Informational Externalities and Welfare-Reducing Speculation433 cited
  • 1978Information, futures prices, and stabilizing speculation391 cited
  • 1976Futures Trading and Market Information294 cited
  • 1995Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH290 cited
  • 1989S&P 500 Cash Stock Price Volatilities262 cited
  • 1988Does Futures Trading Increase Stock Market Volatility?211 cited
  • 1981Futures Trading and Volatility in the GNMA Market203 cited
  • 1988Futures trading and cash market volatility: Stock index and interest rate futures181 cited
  • 1998The effects of stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news

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175 cited
  • 2000Stock index futures trading and volatility in international equity markets175 cited
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    • 2021Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa İstanbul28 cited
    • 2006Impact of the introduction of derivatives on underlying volatility: evidence from India26 cited