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Original Articles

Does derivatives trading destabilize the underlying assets? Evidence from the Spanish stock market

Pages 107-110 | Published online: 06 Oct 2010

References

  • Antoniou , A. , Holmes , P. and Priestley , R. 1998 . The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to news . Journal of Futures Markets , 18 : 151 – 166 .
  • Engle , R. F. and Ng , V. K. 1993 . Measuring and testing the impact of news on volatility . The Journal of Finance , 48 : 1749 – 1778 .
  • Glosten , L. R. , Jagannathan , R. and Runkle , D. E. 1993 . On the relation between the expected value and the volatility of the nominal excess return on stocks . The Journal of Finance , 48 : 1779 – 1801 .
  • Sutcliffe , C. 1997 . Stock Index Futures: Theories and International Evidence , 2nd Edition , Cambridge : ITBP .
  • Stein , J. C. 1987 . Informational externalities and welfare-reducing speculation . Journal of Political Economy , 95 : 1123 – 1145 .

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