Volatility, open interest, volume, and arbitrage: Evidence from the S and P 500 futures market

Applied Economics Letters

Volumn 9, Issue 6, 2002, Pages 369-372

  Ferris, Stephen P ^a   Park, Hun Y ^b   Park, Kwangwoo ^a,b  

^a UNIVERSITY OF MISSOURI   (United States)

^b UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

PRICE DYNAMICS; STOCK MARKET; VECTOR AUTOREGRESSION;

EID: 0036247141     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850110074155     Document Type: Article

References (12)

1. Futures trading activity and stock price volatility
2. Price volatility, trading volume, and market depth: Evidence from the futures markets
3. An empirical examination of information, differences of opinion, and trading activity
4. Intra-day relationships among index arbitrage, spot, and futures volatility, and spot market volume: A transactions data set
5. Stock volatility and the levels of the basis and open interest in futures contracts
6. Futures trading and volatility in the GNMA market
7. Stock prices and volume
8. Trading halts and market activity: An analysis of volume at the open and the close
9. General equilibrium stock index futures prices: Theory and empirical evidence
10. The relation between price changes and trading volume: A survey
11. Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects
12. Stock volatility and the crash of '87