Index futures and options and stock market volatility

Journal of Futures Markets

Volumn 17, Issue 8, 1997, Pages 957-974

  Pericli, Andreas ^a   Koutmos, Gregory ^b  

^a Fed Home Loan Mortgage Corporation   (United States)

^b FAIRFIELD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031507674     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199712)17:8<957::AID-FUT6>3.0.CO;2-K     Document Type: Article

References (7)

1. Akgiray, V., and Booth, G. G. (1990): "Modeling the Stochastic Behavior of Canadian Foreign Exchange Rates," Journal of Multinational Financial Management, 1:43-71.
2. Antoniou, A., and Holmes, P. (1995): "Futures Trading and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH," Journal of Banking and Finance, 19:117-129.
3. Schwert, W. G. (May/June 1990): "Stock Market Volatility," Financial Analysts Journal, 23-34.
4. Simpson, W. G., and Ireland, T. C. (1982): "The Effect of Futures Trading on the Price Volatility of GNMA Securities," The Journal of Futures Markets, 2:357-366.
5. Skinner, D. J. (1989): "Options Markets and Stock Return Volatility," Journal of Financial Economics, 23:61-78.
6. Stein, J. C. (1987): "Informational Externalities and Welfare Reducing Speculation, "Journal of Political Economy, 96:1123-1145.
7. Theodossiou, P. (1994): "The Stochastic Properties of Major Canadian Exchange Rates," The Financial Review, 29(2):193-221.