메뉴 건너뛰기




Volumn 13, Issue 9, 2003, Pages 655-664

Futures trading activity and stock price volatility: Some extensions

Author keywords

[No Author keywords available]

Indexed keywords

STOCK MARKET;

EID: 0041470183     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100110115183     Document Type: Article
Times cited : (15)

References (29)
  • 1
    • 0001917976 scopus 로고
    • Conditional heteroscedasticity in time series of stock returns: Evidence and forecasts
    • Akgiray, V. (1989) Conditional heteroscedasticity in time series of stock returns: Evidence and Forecasts, Journal of Business, 62, 55-80.
    • (1989) Journal of Business , vol.62 , pp. 55-80
    • Akgiray, V.1
  • 2
    • 0002816156 scopus 로고
    • A theory of intraday patterns: Volume and price variability
    • Admati, A. A. and Pfleiderer, P. (1988) A theory of intraday patterns: volume and price variability, Review of Financial Studies, 1, 3-40.
    • (1988) Review of Financial Studies , vol.1 , pp. 3-40
    • Admati, A.A.1    Pfleiderer, P.2
  • 3
    • 0001559689 scopus 로고
    • International evidence on the historical properties of business cycles
    • Backus, D. K. and Kehoe, P. J. (1992) International evidence on the historical properties of business cycles, American Economic Review, ??, 864-88.
    • (1992) American Economic Review , pp. 864-888
    • Backus, D.K.1    Kehoe, P.J.2
  • 6
    • 84993888588 scopus 로고
    • Futures trading activity and stock price volatility
    • Bessembinder, H. and Seguin, P. J. (1992) Futures trading activity and stock price volatility, Journal of Finance, 47, 2015-34.
    • (1992) Journal of Finance , vol.47 , pp. 2015-2034
    • Bessembinder, H.1    Seguin, P.J.2
  • 8
    • 0007194704 scopus 로고    scopus 로고
    • Futures commitments and commodity price jumps
    • Chatrath, A. and Song, F. (1999) Futures commitments and commodity price jumps, Financial Review, 34, 95-112.
    • (1999) Financial Review , vol.34 , pp. 95-112
    • Chatrath, A.1    Song, F.2
  • 9
    • 0002165527 scopus 로고
    • Information, futures prices, and stabilizing speculation
    • Danthine, J. (1978) Information, futures prices, and stabilizing speculation, Journal of Economic Theory, 17, 79-98.
    • (1978) Journal of Economic Theory , vol.17 , pp. 79-98
    • Danthine, J.1
  • 10
    • 0001472310 scopus 로고
    • Futures trading and volatility in the GNMA market
    • Figlewski, S. (1981) Futures trading and volatility in the GNMA market, Journal of Finance, 36, 445-56.
    • (1981) Journal of Finance , vol.36 , pp. 445-456
    • Figlewski, S.1
  • 12
    • 0001272649 scopus 로고
    • An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies
    • Grossman, S. J. (1988) An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies, Journal of Business, 61, 275-98.
    • (1988) Journal of Business , vol.61 , pp. 275-298
    • Grossman, S.J.1
  • 13
  • 14
    • 0040834635 scopus 로고    scopus 로고
    • Equilibrium analysis of portfolio insurance
    • Grossman, S. J. and Zhou, Z. (1996) Equilibrium analysis of portfolio insurance, Journal of Finance, 51, 1379-403.
    • (1996) Journal of Finance , vol.51 , pp. 1379-1403
    • Grossman, S.J.1    Zhou, Z.2
  • 15
    • 0003279885 scopus 로고
    • The effects of changing margin levels on futures market activity, the composition of traders in the market, and price performance
    • Hartzmark, M. (1986) The effects of changing margin levels on futures market activity, the composition of traders in the market, and price performance, Journal of Business, 59, 157-80.
    • (1986) Journal of Business , vol.59 , pp. 157-180
    • Hartzmark, M.1
  • 17
    • 84919214538 scopus 로고
    • The relationship between price changes and trading volume: A survey
    • Karpoff, J. (1987) The relationship between price changes and trading volume: a survey, Journal of Financial and Quantitative Analysis, 22, 109-26.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 109-126
    • Karpoff, J.1
  • 20
    • 0000859303 scopus 로고
    • Continuous auction and insider trading
    • Kyle, A. S. (1985) Continuous auction and insider trading, Econometrica, 53, 1315-35.
    • (1985) Econometrica , vol.53 , pp. 1315-1335
    • Kyle, A.S.1
  • 21
    • 0043216143 scopus 로고
    • Futures markets and transaction costs
    • M. L. Kwast (ed.), Federal Reserve Board of Governors, Washington, DC
    • Kwast, M. L. (1986) Futures markets and transaction costs, in M. L. Kwast (ed.), Financial Futures and Options in the US Economy, Federal Reserve Board of Governors, Washington, DC, pp. 1-38.
    • (1986) Financial Futures and Options in the US Economy , pp. 1-38
    • Kwast, M.L.1
  • 22
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W. and West, K. (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 23
    • 0008308137 scopus 로고
    • Does futures trading reduce price fluctuations in cash markets?
    • Powers, M. J. (1970), Does futures trading reduce price fluctuations in cash markets?, American Economic Review, 60, 460-4.
    • (1970) American Economic Review , vol.60 , pp. 460-464
    • Powers, M.J.1
  • 24
    • 0003147502 scopus 로고
    • The international crash of October 1987
    • Roll, R. (1988) The international crash of October 1987, Financial Analysts' Journal, 44, 19-35.
    • (1988) Financial Analysts' Journal , vol.44 , pp. 19-35
    • Roll, R.1
  • 25
    • 0002528114 scopus 로고
    • Portfolio insurance and the market crash
    • Rubenstein, M. (1988) Portfolio insurance and the market crash, Financial Analysts Journal, 44, 38-47.
    • (1988) Financial Analysts Journal , vol.44 , pp. 38-47
    • Rubenstein, M.1
  • 27
    • 84934349023 scopus 로고
    • Information externalities and welfare-reducing speculation
    • Stein, J. C. (1987) Information externalities and welfare-reducing speculation, Journal of Political Economy, 95, 1123-45.
    • (1987) Journal of Political Economy , vol.95 , pp. 1123-1145
    • Stein, J.C.1
  • 28


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.