Futures trading and cash market volatility: Stock index and interest rate futures
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- Jahangir Sultan, 2012. "Options on federal funds futures and interest rate volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(4), pages 330-359, April.
- Augustin, Patrick & Rubtsov, Alexey & Shin, Donghwa, 2022. "The impact of derivatives on spot markets: Evidence from the introduction of bitcoin futures contracts," LawFin Working Paper Series 41, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
- 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.
- Shang-Jin Wei & Jungshik Kim, 1999. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," CID Working Papers 05A, Center for International Development at Harvard University.
- Wei, S.J. & Kim, J., 1999. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," Papers 5, Chicago - Graduate School of Business.
- Shang-Jin Wei & Jungshik Kim, 1999. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," CID Working Papers 5, Center for International Development at Harvard University.
- Bohl, Martin T. & Diesteldorf, Jeanne & Siklos, Pierre L., 2015.
"The effect of index futures trading on volatility: Three markets for Chinese stocks,"
China Economic Review, Elsevier, vol. 34(C), pages 207-224.
- Martin T. Bohl & Jeanne Diesteldorf & Pierre L. Siklos, 2014. "The Effect of Index Futures Trading on Volatility: Three Markets for Chinese Stocks," CQE Working Papers 3614, Center for Quantitative Economics (CQE), University of Muenster.
- Martin T. Bohl, Jeanne Diesteldorf, Pierre L. Siklos, 2015. "The effect of index futures trading on volatility: Three markets for Chinese stocks," LCERPA Working Papers 0087, Laurier Centre for Economic Research and Policy Analysis, revised 01 Feb 2015.
- 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.
- Paul H. Kupiec, 1997. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?," FMG Special Papers sp97, Financial Markets Group.
- Paul H. Kupiec, 1997. "Margin requirements, volatility, and market integrity: what have we learned since the crash?," Finance and Economics Discussion Series 1997-22, Board of Governors of the Federal Reserve System (U.S.).
- Frankie Chau & Phil Holmes & Krishna Paudyal, 2008. "The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 227-249, January.
- Geoffrey Poitras, 2012. "What Happened on 6 May 2010? Anatomy of the Flash Crash," Chapters, in: Geoffrey Poitras (ed.), Handbook of Research on Stock Market Globalization, chapter 11, Edward Elgar Publishing.
- CLAUDIU TIBERIU ALBULESCU & Daniel Goyeau & AVIRAL KUMAR TIWARI, 2013.
"Revisiting The Financial Volatility–Derivative Products Relationship On Euronext.Liffe Using A Frequency Domain Analysis,"
Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 56(3-4), pages 349-364.
- Claudiu Tiberiu Albulescu & Daniel Goyeau & Aviral Kumar Tiwaric, 2013. "Revisiting The Financial Volatility – Derivative Products Relationship On Euronext. Liffe Using A Frequency Domain Analysis," Post-Print halshs-01368488, HAL.
- Banerjee, Pradip & Chatrath, Arjun & Christie-David, Rohan & Maitra, Debasish, 2018. "The effects of options listing and delisting in a short-sale-constrained market: Evidence from the Indian equities markets," Global Finance Journal, Elsevier, vol. 35(C), pages 157-169.
- Benjamin M. Blau & Ryan J. Whitby, 2019. "The Introduction of Bitcoin Futures: An Examination of Volatility and Potential Spillover Effects," Economics Bulletin, AccessEcon, vol. 39(2), pages 1030-1038.
- 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.
- Ahmet Enis Kocagil, 1997. "Does futures speculation stabilize spot prices? Evidence from metals markets," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 115-125.
- Benilde Maria do Nascimento Oliveira & Manuel Jose da Rocha Armada, 2005. "Structural Changes of the Conditional Volatility of the Portuguese Stock Market," Multinational Finance Journal, Multinational Finance Journal, vol. 9(3-4), pages 189-214, September.
- Md. Mohibul Islam & Anisul M. Islam, 2017. "Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 3(9), pages 157-15-172, 09-2017.
- Phil Holmes, 1996. "Spot price volatility, information and futures trading: evidence from a thinly traded market," Applied Economics Letters, Taylor & Francis Journals, vol. 3(1), pages 63-66.
- Ashish Kumar, 2015. "Impact of Currency Futures on Volatility in Exchange Rate," Paradigm, , vol. 19(1), pages 95-108, June.
- David McMillan & Alan Speight & Owain Apgwilym, 2000. "Forecasting UK stock market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 435-448.
- Wurm, Laura, 2021. "Strangling speculation: The effect of the 1903 Viennese futures trading ban," QUCEH Working Paper Series 21-09, Queen's University Belfast, Queen's University Centre for Economic History.
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