Journal ArticleDOI
Futures trading, transaction costs, and stock market volatility
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This article is published in Journal of Futures Markets.The article was published on 1991-04-01. It has received 78 citations till now. The article focuses on the topics: Open outcry & Algorithmic trading.read more
Citations
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Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis
TL;DR: The authors assesses factors that potentially influence the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets, finding evidence of volatility spillover among crude oil, corn, and wheat markets after the fall of 2006.
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Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH
TL;DR: In this paper, the impact of trading in the FTSE-100 Stock Index Futures on the volatility of the underlying spot market was examined using the GARCH family of techniques.
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Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets
TL;DR: In this paper, an Asymmetric Autoregressive threshold GARCH model is introduced and estimated for nine national stock markets, and empirical evidence suggests that both the conditional mean and the conditional variance respond asymmetrically to past information.
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Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets
TL;DR: In this paper, the effect of index futures trading in the Korean markets on spot price volatility and market efficiency of the underlying KOSPI 200 stocks, relative to the carefully matched non-KOSPI200 stocks was examined.
References
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Principles and Procedures of Statistics.
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Efficient capital markets: a review of theory and empirical work*
TL;DR: Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417 as mentioned in this paper
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On a measure of lack of fit in time series models
Greta M. Ljung,George E. P. Box +1 more
TL;DR: In this paper, the overall test for lack of fit in autoregressive-moving average models proposed by Box & Pierce (1970) is considered, and it is shown that a substantially improved approximation results from a simple modification of this test.
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Permanent and Temporary Components of Stock Prices
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: This article found that a slowly mean-reverting component of stock prices tends to induce negative autocorrelation in returns, which is weak for the daily and weekly holding periods common in market efficiency tests but stronger for long-horizon returns.