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Applied Economics Letters Volume 9, 2002 - Issue 6
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Original Articles

Volatility, open interest, volume, and arbitrage: evidence from the S&P 500 futures market

Stephen P. Ferris Department of Finance, University of Missouri, Columbia, MO 65211
,
Hun Y. Park Department of Finance, University of Illinois, Champaign, IL 61820
&
Kwangwoo Park Department of Finance, University of Illinois, Champaign, IL 61820 and Department of Economics, University of Missouri, Columbia, MO 65211
Pages 369-372 | Published online: 07 Oct 2010

Citations (13)

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Read on this site (2)

I-Chun Tsai. (2015) Information content in the depth of futures markets. Investment Analysts Journal 44:1, pages 43-56.
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Sangram Keshari Jena & Ashutosh Dash. (2014) Trading activity and Nifty index futures volatility: an empirical analysis. Applied Financial Economics 24:17, pages 1167-1176.
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Articles from other publishers (11)

Xiangyu Chen & Jittima Tongurai. (2023) Which liquidity indicator is more informative to market volatility? Spectrum analysis of China’s base metal futures market. The North American Journal of Economics and Finance 68, pages 101962.
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Parizad Phiroze Dungore & Sarosh Hosi Patel. (2021) Analysis of Volatility Volume and Open Interest for Nifty Index Futures Using GARCH Analysis and VAR Model. International Journal of Financial Studies 9:1, pages 7.
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K. Smimou. (2017) Does gold Liquidity learn from the greenback or the equity?. Research in International Business and Finance 41, pages 461-479.
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Nikolaos Antonakakis, Christos Floros & Renatas Kizys. (2016) Dynamic spillover effects in futures markets: UK and US evidence. International Review of Financial Analysis 48, pages 406-418.
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Elina Pradkhan. (2016) Information Content of Trading Activity in Precious Metals Futures Markets. Journal of Futures Markets 36:5, pages 421-456.
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Michael Souček. (2013) Crude oil, equity and gold futures open interest co-movements. Energy Economics 40, pages 306-315.
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Samir Aguenaou, Owain Ap Gwilym & Mark Rhodes. (2011) Open interest, cross listing, and information shocks. Journal of Futures Markets 31:8, pages 755-778.
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Stéphane M. Yen & Ming-Hsiang Chen. (2009) Open interest, volume, and volatility: evidence from Taiwan futures markets. Journal of Economics and Finance 34:2, pages 113-141.
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Vipul. (2008) Mispricing, Volume, Volatility and Open Interest. Journal of Emerging Market Finance 7:3, pages 263-292.
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Christos Floros. (2016) Price and Open Interest in Greek Stock Index Futures Market. Journal of Emerging Market Finance 6:2, pages 191-202.
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Babu Jose, Daniel Lazar & K. Chandrasekhara Rao. (2012) Determinants of Futures Market in India. SSRN Electronic Journal.
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