The impact of settlement time on the volatility of stock markets

Applied Financial Economics

Volumn 7, Issue 6, 1997, Pages 689-694

  Li, Dong ^a,b   Lin, Shao Kung ^b   Li, Chulin ^b  

^a TEXAS A AND M UNIVERSITY   (United States)

^b HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0347770263     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/758533861     Document Type: Article

References (6)

1. Brown, M. B. and Forsythe, A. B. (1974) Robust tests for the equality of variances, Journal of the American Statistical Association, 69, 346, 364-7.
2. Efron, B. (1982) The Jackknife, the Bootstrap and Other Resampling Plans, Society for Industrial and Applied Mathematics, Philadelphia.
3. Efron, B. and Tibshirani, R. J. (1993) An Introduction to the Bootstrap, Chapman & Hall, London.
4. Lamoureux, C. G. and Lastrapes, W. D. (1990) Heteroskedasticity in stock return data: volume versus GARCH effects, Journal of Finance, 45, 221-29.
5. Lee, S. B. and Ohk, K. Y. (1992) Stock index futures listing and structure change in time-varying volatility, Journal of Futures Markets, 12, 493-509.
6. Levene, H. (1960) Robust tests for equality of variances, in I. Olkin, (ed), Contributions to Probability and Statistics, Stanford University Press, Palo Alto, CA, pp. 278-92.