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Volumn 19, Issue 7, 1999, Pages 759-776

Managed futures, positive feedback trading, and futures price volatility

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Indexed keywords


EID: 0033446073     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199910)19:7<759::AID-FUT2>3.0.CO;2-F     Document Type: Article
Times cited : (30)

References (14)
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    • Interday variations in volume, variance and participation of large speculators
    • Chang, E. C., Pinegar, J. M., & Schachter, B.. (1997). Interday variations in volume, variance and participation of large speculators. Journal of Banking and Finance, 21, 797-810.
    • (1997) Journal of Banking and Finance , vol.21 , pp. 797-810
    • Chang, E.C.1    Pinegar, J.M.2    Schachter, B.3
  • 7
    • 0038119737 scopus 로고
    • Professionally managed, publicly traded commodity funds
    • Elton, E. J., Gruber, M.J., & Rentzler, J. C. (1987). Professionally managed, publicly traded commodity funds. Journal of Business, 60, 175-199.
    • (1987) Journal of Business , vol.60 , pp. 175-199
    • Elton, E.J.1    Gruber, M.J.2    Rentzler, J.C.3
  • 8
    • 0002157562 scopus 로고
    • Chartists, fundamentalists, and trading in the foreign exchange market
    • Frankel, J. A., & Froot, K. A. (1990). Chartists, fundamentalists, and trading in the foreign exchange market. American Economic Review, 80, 181-185.
    • (1990) American Economic Review , vol.80 , pp. 181-185
    • Frankel, J.A.1    Froot, K.A.2
  • 9
    • 84919214538 scopus 로고
    • The relation between price changes and trading volume: A survey
    • Karpoff, J. M. (1987). The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis, 22, 109-126.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 109-126
    • Karpoff, J.M.1
  • 12
    • 0002484781 scopus 로고
    • The extreme value method for estimating the variance of the rate of return
    • Parkinson, M. (1980). The extreme value method for estimating the variance of the rate of return. Journal of Business, 64, 417-432.
    • (1980) Journal of Business , vol.64 , pp. 417-432
    • Parkinson, M.1
  • 13
    • 85033972250 scopus 로고
    • Speculators' clout may distort price picture
    • May 31
    • Taylor, J., & Behrmann, N. (1994). Speculators' clout may distort price picture (p. C1). The Wall Street Journal (May 31).
    • (1994) The Wall Street Journal
    • Taylor, J.1    Behrmann, N.2
  • 14
    • 0001608959 scopus 로고
    • Empirical tests of the bias and efficiency of the extreme-value variance estimator for common stock
    • Wiggins, J. G. (1991). Empirical tests of the bias and efficiency of the extreme-value variance estimator for common stock. Journal of Business, 64, 417-432.
    • (1991) Journal of Business , vol.64 , pp. 417-432
    • Wiggins, J.G.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.