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Volumn 16, Issue 1, 1996, Pages 55-69

Temporal relationships and dynamic interactions between spot and futures stock markets

Author keywords

[No Author keywords available]

Indexed keywords


EID: 8744258821     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199602)16:1<55::AID-FUT3>3.0.CO;2-G     Document Type: Article
Times cited : (122)

References (14)
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    • To What Extent Did Stock Index Futures Contribute to the October 1987 Stock Market Crash?
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    • Antoniou, A., and Garrett, I. (1993, November): "To What Extent Did Stock Index Futures Contribute to the October 1987 Stock Market Crash?" The Economic Journal, 1444-1461.
    • (1993) The Economic Journal , pp. 1444-1461
    • Antoniou, A.1    Garrett, I.2
  • 3
    • 84993888588 scopus 로고
    • Futures Trading Activity and Stock Price Volatility
    • Bessembinder, H., and Sequin, P.J., (1992): "Futures Trading Activity and Stock Price Volatility," The Journal of Finance, 47:2015-2034.
    • (1992) The Journal of Finance , vol.47 , pp. 2015-2034
    • Bessembinder, H.1    Sequin, P.J.2
  • 5
    • 0001023182 scopus 로고
    • Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Approach
    • Bollerslev. T., (1990): "Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Approach," Review of Economics and Statistics, 498-505.
    • (1990) Review of Economics and Statistics , pp. 498-505
    • Bollerslev, T.1
  • 6
    • 34848900983 scopus 로고
    • ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence
    • 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.
    • (1992) Journal of Econometrics , vol.52 , pp. 5-59
    • Bollerslev, T.1    Chou, R.Y.2    Kroner, K.F.3
  • 7
    • 0000183335 scopus 로고
    • Intraday Volatility in the Stock Index and Stock Index Futures Markets
    • Chan, K., Chan, K.C., and Karolyi, A.C., (1991): "Intraday Volatility in the Stock Index and Stock Index Futures Markets," The Review of Financial Studies, 4:657-684.
    • (1991) The Review of Financial Studies , vol.4 , pp. 657-684
    • Chan, K.1    Chan, K.C.2    Karolyi, A.C.3
  • 8
    • 84978544600 scopus 로고
    • Using Intraday Data to Test for Effects of Index Futures on the Underlying Stock Markets
    • Choi, H., and Subrahmanyam, A., (1994): "Using Intraday Data to Test for Effects of Index Futures on the Underlying Stock Markets," The Journal of Futures Markets, 14:293-322.
    • (1994) The Journal of Futures Markets , vol.14 , pp. 293-322
    • Choi, H.1    Subrahmanyam, A.2
  • 9
    • 49049143130 scopus 로고
    • The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects
    • Christie, A.A., (1982): "The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects," Journal of Financial Economics, 10:407-432.
    • (1982) Journal of Financial Economics , vol.10 , pp. 407-432
    • Christie, A.A.1
  • 10
    • 85036258669 scopus 로고
    • Distribution of the Estimates for Autoregressive Time Series with Unit Root
    • Dickey, D.A., and Fuller, W.A. (1979): "Distribution of the Estimates for Autoregressive Time Series with Unit Root," Journal of the American Statistical Association, 74:427-431.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 11
    • 0000472488 scopus 로고
    • Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
    • Dickey, D.A., and Fuller, W.A. (1981): "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, 49:1057-1072.
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.A.1    Fuller, W.A.2
  • 13
    • 0002441919 scopus 로고
    • Does Futures Trading Increase Stock Market Volatility?
    • January/February
    • Edwards, F.R., (1988, January/February): "Does Futures Trading Increase Stock Market Volatility?" Financial Analysts Journal, 63-69.
    • (1988) Financial Analysts Journal , pp. 63-69
    • Edwards, F.R.1
  • 14
    • 0000013567 scopus 로고
    • Cointegration and Error Correction: Representation Estimation and Testing
    • Engle, R.F., and Granger, C.W.J., (1987): "Cointegration and Error Correction: Representation Estimation and Testing," Econometrica, 55:251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.