-
1
-
-
0009232225
-
Return volatility and trading volume: An information flow interpretation of stochastic volatility
-
Andersen, T. G. (1996.) Return volatility and trading volume: An information flow interpretation of stochastic volatility. Journal of Finance, 51, 169-204.
-
(1996)
Journal of Finance
, vol.51
, pp. 169-204
-
-
Andersen, T.G.1
-
2
-
-
0000180277
-
Futures trading, information and spot price volatility: Evidence for the FTSE-100 Stock index futures contract using GARCH
-
Antoniou, A., & Holmes, P. (1995). Futures trading, information and spot price volatility: evidence for the FTSE-100 Stock index futures contract using GARCH. Journal of Banking & Finance, 19, 117-129.
-
(1995)
Journal of Banking & Finance
, vol.19
, pp. 117-129
-
-
Antoniou, A.1
Holmes, P.2
-
3
-
-
42449156579
-
Generalized autoregressive conditional heteroskedasticity
-
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
4
-
-
84960563837
-
Trading volume and serial correlation in stock returns
-
Campbell, J. Y., Grossman, S. J., & Wang, J. (1993). Trading volume and serial correlation in stock returns. Quarterly Journal of Economics, 108, 905-939.
-
(1993)
Quarterly Journal of Economics
, vol.108
, pp. 905-939
-
-
Campbell, J.Y.1
Grossman, S.J.2
Wang, J.3
-
5
-
-
0009080418
-
Expiration-day effects of index futures and options: Some Canadian evidence
-
September-October
-
Chamberlain, T. W., Cheung, C. S., & & Kwan, C. C. Y. (1989, September-October). Expiration-day effects of index futures and options: some Canadian evidence. Financial Analysts Journal, 67-71
-
(1989)
Financial Analysts Journal
, pp. 67-71
-
-
Chamberlain, T.W.1
Cheung, C.S.2
Kwan, C.C.Y.3
-
6
-
-
84978567917
-
Triple-witching hour, the change in expiration timing, and stock market reaction
-
Chen, C., & Williams, J. (1994). Triple-witching hour, the change in expiration timing, and stock market reaction. Journal of Futures Markets, 14(3), 275-292.
-
(1994)
Journal of Futures Markets
, vol.14
, Issue.3
, pp. 275-292
-
-
Chen, C.1
Williams, J.2
-
7
-
-
21444454297
-
Evidence on the effect of option expirations on stock prices
-
January-February
-
Cinar, E. M., & Vu, J. (1987, January-February). Evidence on the effect of option expirations on stock prices. Financial Analysts Journal, 55-57.
-
(1987)
Financial Analysts Journal
, pp. 55-57
-
-
Cinar, E.M.1
Vu, J.2
-
8
-
-
0002441919
-
Does futures trading increase stock market volatility?
-
Edwards, F. R. (1988). Does futures trading increase stock market volatility? Financial Analysts Journal, 44, 63-69.
-
(1988)
Financial Analysts Journal
, vol.44
, pp. 63-69
-
-
Edwards, F.R.1
-
9
-
-
84993924525
-
Measuring and testing the impact of news on volatility
-
Engle, R. F., & Ng, V. K. (1993), Measuring and testing the impact of news on volatility. Journal of Finance, 48, 1749-1778
-
(1993)
Journal of Finance
, vol.48
, pp. 1749-1778
-
-
Engle, R.F.1
Ng, V.K.2
-
10
-
-
0000404701
-
Stock prices and volume
-
Gallant, A. R., Rossi, P. E., & Tauchen, G. E. (1992). Stock prices and volume. Review of Financial Studies, 5, 199-242.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 199-242
-
-
Gallant, A.R.1
Rossi, P.E.2
Tauchen, G.E.3
-
11
-
-
0000313261
-
Price movements and price discovery in futures and cash markets
-
Garbade, K., & Silber, W. (1983). Price movements and price discovery in futures and cash markets. Review of Economics and Statistics, 65, 289-297.
-
(1983)
Review of Economics and Statistics
, vol.65
, pp. 289-297
-
-
Garbade, K.1
Silber, W.2
-
12
-
-
0001578670
-
Market liquidity, hedging, and crashes
-
Gennotte, G., & Leland, H. (1990). Market liquidity, hedging, and crashes. American Economic Review, 80, 999-1021.
-
(1990)
American Economic Review
, vol.80
, pp. 999-1021
-
-
Gennotte, G.1
Leland, H.2
-
13
-
-
84993601065
-
On the relation between the expected value and the volatility of the nominal excess return on stocks
-
Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48, 1779-1801.
-
(1993)
Journal of Finance
, vol.48
, pp. 1779-1801
-
-
Glosten, L.R.1
Jagannathan, R.2
Runkle, D.E.3
-
14
-
-
0001272649
-
An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies
-
Grossman, S. (1988). An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies. Journal of Business, 61, 421-439.
-
(1988)
Journal of Business
, vol.61
, pp. 421-439
-
-
Grossman, S.1
-
15
-
-
84971937263
-
Derivative security markets, market manipulation, and option pricing theory
-
Jarrow, R. A. (1994). Derivative security markets, market manipulation, and option pricing theory. Journal of Financial & Quantitative Analysis, 29, 241-261.
-
(1994)
Journal of Financial & Quantitative Analysis
, vol.29
, pp. 241-261
-
-
Jarrow, R.A.1
-
16
-
-
0002720326
-
Stock market volatility around expiration days in Japan
-
Karolyi, A. (1996). Stock market volatility around expiration days in Japan. Journal of Derivatives, 4, 23-43.
-
(1996)
Journal of Derivatives
, vol.4
, pp. 23-43
-
-
Karolyi, A.1
-
17
-
-
84919214538
-
The relationship between price changes and trading volume: A survey
-
Karpoff, J. M. (1987). The relationship 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
|