메뉴 건너뛰기




Volumn 55, Issue 2, 2000, Pages 959-988

A model of returns and trading in futures markets

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0039251037     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00233     Document Type: Article
Times cited : (32)

References (28)
  • 2
    • 0019397561 scopus 로고
    • Detectability and stabilizability of time-varying discrete-time linear systems
    • Anderson, Brian, and John B. Moore, 1981, Detectability and stabilizability of time-varying discrete-time linear systems, SIAM Journal of Control and Optimization 19, 20-32.
    • (1981) SIAM Journal of Control and Optimization , vol.19 , pp. 20-32
    • Anderson, B.1    Moore, J.B.2
  • 3
    • 84979391473 scopus 로고
    • Some determinants of the volatility of futures prices
    • Anderson, Ronald, 1985, Some determinants of the volatility of futures prices, Journal of Futures Markets 5, 331-348.
    • (1985) Journal of Futures Markets , vol.5 , pp. 331-348
    • Anderson, R.1
  • 4
    • 0001596508 scopus 로고
    • The time pattern of hedging and the volatility of futures prices
    • Anderson, Ronald, and Jean-Pierre Danthine, 1983, The time pattern of hedging and the volatility of futures prices, Review of Economic Studies 50, 249-266.
    • (1983) Review of Economic Studies , vol.50 , pp. 249-266
    • Anderson, R.1    Danthine, J.-P.2
  • 5
    • 21144460194 scopus 로고
    • Systematic risk, hedging pressure, and risk premiums in futures markets
    • Bessembinder, Hendrik, 1992, Systematic risk, hedging pressure, and risk premiums in futures markets, Review of Financial Studies 5, 637-667.
    • (1992) Review of Financial Studies , vol.5 , pp. 637-667
    • Bessembinder, H.1
  • 6
    • 85013908950 scopus 로고    scopus 로고
    • Is there a term structure of futures volatilities? Reevaluating the Samuelson hypothesis
    • Bessembinder, Hendrik, Jay Coughenour, Paul Seguin, and Margaret Smoller, 1996, Is there a term structure of futures volatilities? Reevaluating the Samuelson hypothesis, Journal of Derivatives 4, 45-58.
    • (1996) Journal of Derivatives , vol.4 , pp. 45-58
    • Bessembinder, H.1    Coughenour, J.2    Seguin, P.3    Smoller, M.4
  • 7
    • 0001598837 scopus 로고
    • Futures trading, rational expectations, and the efficient markets hypothesis
    • Bray, Margaret, 1981, Futures trading, rational expectations, and the efficient markets hypothesis, Econometrica, 575-596.
    • (1981) Econometrica , pp. 575-596
    • Bray, M.1
  • 8
    • 0002844363 scopus 로고
    • The price of convenience and the valuation of commodity contingent claims
    • D. Lund and B. Oksendal, eds.: North Holland, Amsterdam
    • Brennan, Michael J., 1991, The price of convenience and the valuation of commodity contingent claims; in D. Lund and B. Oksendal, eds.: Stochastic Models and Option Values (North Holland, Amsterdam).
    • (1991) Stochastic Models and Option Values
    • Brennan, M.J.1
  • 9
    • 0014871796 scopus 로고
    • On the discrete time matrix riccati equation of optimal control
    • Caines, Peter E., and David Q. Mayne, 1970, On the discrete time matrix Riccati equation of optimal control, International Journal of Control 12, 785-794.
    • (1970) International Journal of Control , vol.12 , pp. 785-794
    • Caines, P.E.1    Mayne, D.Q.2
  • 11
    • 0010929308 scopus 로고
    • The effects of derivative securities on the markets for the underlying assets in the united states: A survey
    • Damodaran, Aswath, and Marti G. Subrahmanyam, 1992, The effects of derivative securities on the markets for the underlying assets in the United States: A survey, Financial Markets, Institutions and Instruments 2, 1-21.
    • (1992) Financial Markets, Institutions and Instruments , vol.2 , pp. 1-21
    • Damodaran, A.1    Subrahmanyam, M.G.2
  • 12
    • 0002753132 scopus 로고
    • Commodity futures prices: Some evidence on forecast power, premiums, and the theory of storage
    • Fama, Eugene F, and Kenneth R. French, 1987, Commodity futures prices: Some evidence on forecast power, premiums, and the theory of storage, Journal of Business 60, 55-73.
    • (1987) Journal of Business , vol.60 , pp. 55-73
    • Fama, E.F.1    French, K.R.2
  • 13
    • 84959797626 scopus 로고
    • The existence of futures markets, noisy rational expectations and informational externalities
    • Grossman, Sanford J., 1977, The existence of futures markets, noisy rational expectations and informational externalities, Review of Economic Studies 44, 431-449.
    • (1977) Review of Economic Studies , vol.44 , pp. 431-449
    • Grossman, S.J.1
  • 14
    • 0031331033 scopus 로고    scopus 로고
    • Market structure, security prices and informational efficiency
    • Huang, Jennifer, and Jiang Wang, 1997, Market structure, security prices and informational efficiency, Macroeconomic Dynamics 1, 431-449.
    • (1997) Macroeconomic Dynamics , vol.1 , pp. 431-449
    • Huang, J.1    Wang, J.2
  • 15
    • 0001385620 scopus 로고
    • An investigation of commodity futures prices using the consumption-based intertemporal capital asset pricing model
    • Jagannathan, Ravi, 1985, An investigation of commodity futures prices using the consumption-based intertemporal capital asset pricing model, Journal of Finance 40, 175-191.
    • (1985) Journal of Finance , vol.40 , pp. 175-191
    • Jagannathan, R.1
  • 17
    • 84978549269 scopus 로고
    • Determinants of agricultural futures price volatilities: Evidence from winnipeg commodity exchange
    • Khoury, Nabil, and Pierre Yourougou, 1993, Determinants of agricultural futures price volatilities: Evidence from Winnipeg commodity exchange, Journal of Futures Markets 13, 345-356.
    • (1993) Journal of Futures Markets , vol.13 , pp. 345-356
    • Khoury, N.1    Yourougou, P.2
  • 19
    • 0011090049 scopus 로고
    • Optimal consumption and portfolio rules in a continuous time model
    • Merton, Robert, 1971, Optimal consumption and portfolio rules in a continuous time model, Journal of Economic Theory 3, 373-413.
    • (1971) Journal of Economic Theory , vol.3 , pp. 373-413
    • Merton, R.1
  • 20
    • 84984477682 scopus 로고
    • Liquidity and price variability in futures markets
    • Milonas, Nikolaos T., 1986, Liquidity and price variability in futures markets, Financial Review 21, 211-237.
    • (1986) Financial Review , vol.21 , pp. 211-237
    • Milonas, N.T.1
  • 21
    • 14644409146 scopus 로고
    • The effect of futures markets and corners on storage and spot price variability
    • Netz, Jane, 1995, The effect of futures markets and corners on storage and spot price variability, American Journal of Agricultural Economics 77, 182-193.
    • (1995) American Journal of Agricultural Economics , vol.77 , pp. 182-193
    • Netz, J.1
  • 23
    • 0001703447 scopus 로고
    • A continuous time equilibrium model of forward prices and futures prices in a multigood economy
    • Richard, Scott f, and M. Sundaresan, 1981, A continuous time equilibrium model of forward prices and futures prices in a multigood economy, Journal of Financial Economics 9, 347-371.
    • (1981) Journal of Financial Economics , vol.9 , pp. 347-371
    • Richard, S.F.1    Sundaresan, M.2
  • 24
    • 0021538161 scopus 로고
    • Orange juice and weather
    • Roll, Richard, 1984, Orange juice and weather, American Economic Review 74, 861-880.
    • (1984) American Economic Review , vol.74 , pp. 861-880
    • Roll, R.1
  • 26
    • 0002677397 scopus 로고
    • Proof that properly anticipated prices fluctuate randomly
    • Samuelson, Paul A., 1965, Proof that properly anticipated prices fluctuate randomly, Industrial Management Review 6, 41-50.
    • (1965) Industrial Management Review , vol.6 , pp. 41-50
    • Samuelson, P.A.1
  • 27
    • 0000792991 scopus 로고    scopus 로고
    • The stochastic behavior of commodity prices: Implications for valuation and hedging
    • Schwartz, Eduardo S., 1997, The stochastic behavior of commodity prices: Implications for valuation and hedging, Journal of Finance 52, 923-974.
    • (1997) Journal of Finance , vol.52 , pp. 923-974
    • Schwartz, E.S.1
  • 28
    • 84937302781 scopus 로고
    • A model of competitive stock trading volume
    • Wang, Jiang, 1994, A model of competitive stock trading volume, Journal of Political Economy 102, 127-168.
    • (1994) Journal of Political Economy , vol.102 , pp. 127-168
    • Wang, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.