Index futures trading and spot price volatility

Applied Economics Letters

Volumn 8, Issue 3, 2001, Pages 183-186

  Yu, Shang Wu ^a  

^a NATIONAL TAIWAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33744914795     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850150504568     Document Type: Article

References (15)

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3. Becketti, S. and Roberts, D. J. (1990) Will increased regulation of stock index futures reduce stock market volatility? Federal Reserve Bank of Kansas City Economic Review, 75, 33-46.
4. Bollerslev, T., Chou, R. Y. and Kroner, K. F. (1992) ARCH modeling in finance: a review of the theory and empirical evidence, Journal of Econometrics, 52, 5-59.
5. Bollerslev, T., Engle, R. F. and Nelson, D. (1994) ARCH models, Handbook of Econometrics, Vol. 4, Chapter 49.
6. Brorsen, B. W. (1991) Futures trading, transactions costs and stock market volatility, Journal of Futures Markets, 11, 153-163.
7. Darrat, A. F. and Rahman, S. (1995) Has futures trading activity caused stock price volatility? Journal of Futures Markets, 15, 537-57.
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9. Edwards, F. R. (1988b) Does futures trading increase stock market volatility? Financial Analysts Journal, 44, 63-9.
10. Fortune, P. (1989) An assessment of financial market volatility: bills, bonds, and stocks, New England Economic Review, 13-27.
11. Harris, L. (1989) S&P 500 cash stock price volatilities, Journal of Finance, 44, 1155-75.
12. Kamara, A., Miller, T. W. and Siegel, A. F. (1992) The effect of futures trading on the stability of standard and Poor 500 Returns, Journal of Futures Markets, 12, 645-58.
13. Lee, S. B. and Ohk, K. Y. (1992) Stock index futures listing and structural change in time-varying volatility, Journal of Futures Markets, 12, 493-509.
14. Maberly, E. D., Allen, D. S. and Gilbert, R. F. (1989) Stock index futures and cash market volatility, Financial Analysts Journal 45, 75-7.
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