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Relative informational efficiency of cash, futures, and options markets: The case of an emerging market
9 references·11 citing·40 second hop
Relative informational efficiency of cash, futures, and options markets: The case of an emerging market (2001)Relative informational efficiency of cash…Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)Trading costs and the relativ…Why Option Prices Lag Stock Prices: A Trading-Based Explanation (1993)Why Option Prices Lag Stock P…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 …A Theory of Trading in Stock Index Futures (1991)A Theory of Trading in Stock …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 Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index (1987)The Temporal Price Relationsh…Multivariate tests of financial models (1982)Multivariate tests of financi…Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction (2020)Price discovery and spillover…Noise traders, mispricing, and price adjustments in derivatives markets (2019)Noise traders, mispricing, an…Dynamic lead–lag relationship between stock indices and their derivatives: A comparative study between Chinese mainland, Hong Kong and US stock markets (2018)Dynamic lead–lag relationship…The impacts of institutional and individual investors on the price discovery in stock index futures market: Evidence from China (2015)The impacts of institutional …Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data (2012)Price Discovery in Chinese St…Unbiased Estimation, Price Discovery, and Market Efficiency: Futures Prices and Spot Prices (2008)Unbiased Estimation, Price Di…Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange (2008)Tick sizes and relative rates…Informed trading under different market conditions and moneyness: Evidence from TXO options (2008)Informed trading under differ…Economic linkages across commodity futures: Hedging and trading implications (2008)Economic linkages across comm…The information content of net buying pressure: Evidence from the KOSPI 200 index option market (2007)The information content of ne…Information content of extended trading for index futures (2004)Information content of extend…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)The Pricing of Exchange Rate Risk in the Stock Market (1991)Political Risk, Economic Risk, and Financial Risk (1996)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)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)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)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Intraday Price Formation in U.S. Equity Index Markets (2003)Talk and Action: What Individual Investors Say and What They Do (2005)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Why Does Stock Market Volatility Change Over Time? (1989)Multivariate Simultaneous Generalized ARCH (1995)Volatility spillovers in commodity markets (2013)Futures Trading and the Excess Co-movement of Commodity Prices (2017)Time-varying energy and stock market integration in Asia (2019)The Relation Between Price Changes and Trading Volume: A Survey (1987)The Random Character of Stock Market Prices (1968)The Pricing of Contingent Claims in Discrete Time Models (1979)Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies? (1998)Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach (2007)Can a stochastic cusp catastrophe model explain stock market crashes? (2009)
this work references cited by second hop

References

  • 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
  • 1982Multivariate tests of financial models614 cited
  • 1991A Theory of Trading in Stock Index Futures542 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
  • 1996Trading costs and the relative rates of price discovery in stock, futures, and option markets424 cited
  • 1993Why Option Prices Lag Stock Prices: A Trading-Based Explanation215 cited
  • 1991Put-Call Parity and Expected Returns80 cited

Cited by

  • 2008Economic linkages across commodity futures: Hedging and trading implications92 cited
  • 2008Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange60 cited
  • 2015The impacts of institutional and individual investors on the price discovery in stock index futures market: Evidence from China47 cited
  • 2007The information content of net buying pressure: Evidence from the KOSPI 200 index option market47 cited
  • 2012Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data

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42 cited
  • 2019Noise traders, mispricing, and price adjustments in derivatives markets38 cited
  • 2020Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction38 cited
  • 2008Informed trading under different market conditions and moneyness: Evidence from TXO options32 cited
  • 2018Dynamic lead–lag relationship between stock indices and their derivatives: A comparative study between Chinese mainland, Hong Kong and US stock markets27 cited
  • 2004Information content of extended trading for index futures24 cited
  • 2008Unbiased Estimation, Price Discovery, and Market Efficiency: Futures Prices and Spot Prices24 cited