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The effect of futures trading on the price volatility of gnma securities

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  • W. Gary Simpson
  • Timothy C. Ireland

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  • W. Gary Simpson & Timothy C. Ireland, 1982. "The effect of futures trading on the price volatility of gnma securities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 2(4), pages 357-366, December.
    • Handle: RePEc:wly:jfutmk:v:2:y:1982:i:4:p:357-366
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    Cited by:

    1. Paul Kupiec, 1998. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
    2. Dennis, Steven A. & Sim, Ah Boon, 1999. "Share price volatility with the introduction of individual share futures on the Sydney Futures Exchange," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 153-163, June.
    3. S. Wong & C. Yiu & M. Tse & K. Chau, 2006. "Do the Forward Sales of Real Estate Stabilize Spot Prices?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 289-304, May.
    4. Shang-Jin Wei & Jungshik Kim, 1997. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," NBER Working Papers 6256, National Bureau of Economic Research, Inc.
    5. Christopher Hessel & Jun Wang, 2010. "Changes in volatility of credit spread and market efficiency during rapid growth of credit-related securities," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 545-554.
    6. Staikouras, Sotiris K., 2006. "Testing the stabilization hypothesis in the UK short-term interest rates: Evidence from a GARCH-X model," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 169-189, May.

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