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Common volatility in S&P 500 stock index and S&P 500 index futures prices during October 1987

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  • Bala Arshanapalli
  • John Doukas

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  • Bala Arshanapalli & John Doukas, 1994. "Common volatility in S&P 500 stock index and S&P 500 index futures prices during October 1987," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(8), pages 915-925, December.
    • Handle: RePEc:wly:jfutmk:v:14:y:1994:i:8:p:915-925
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    Cited by:

    1. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
    2. Mustafa Okur & Emrah Cevik, 2013. "Testing Intraday Volatility Spillovers in Turkish Capital Markets: Evidence from Ise," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 26(3), pages 99-116, January.
    3. Joshua Turkington & David Walsh, 1999. "Price Discovery and Causality in the Australian Share Price Index Futures Market," Australian Journal of Management, Australian School of Business, vol. 24(2), pages 97-113, December.
    4. Miao, Hong & Ramchander, Sanjay & Wang, Tianyang & Yang, Dongxiao, 2017. "Role of index futures on China's stock markets: Evidence from price discovery and volatility spillover," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 13-26.

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