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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

References

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  • Bessembinder , H. and Seguin , P. J. 1993 . Price volatility, trading volume, and market depth: evidence from the futures markets . Journal of Financial and Quantitative Analysis , 28 : 21 – 39 .
  • Bessembinder , H. , Chan , K. and Seguin , P. J. 1996 . An empirical examination of information, differences of opinion, and trading activity . Journal of Financial Economics , 40 : 105 – 134 .
  • Chan , K. and Chung , Y. 1993 . Intra-day relationships among index arbitrage, spot, and futures volatility, and spot market volume: a transactions data set . Journal of Banking and Finance , 17 : 663 – 687 .
  • Chen , N. F. , Cuny , C. J. and Haugen , R. A. 1995 . Stock volatility and the levels of the basis and open interest in futures contracts, Journal of Finance, 50, 281-300 . market, Journal of Finance , 36 : 445 – 456 .
  • Gallant , A. R. , Rossi , P. E. and Tauchen . 1992 . Stock prices and volume . Review of Financial Studies , 5 : 199 – 242 .
  • Gerety , M. S. and Muherin , J. H. 1992 . Trading halts and market activity: an analysis of volume at the open and the close . Journal of Finance , 47 : 1765 – 1784 .
  • Hemler , M. and Longstaff , F. A. 1991 . General equilibrium stock index futures prices: theory and empirical evidence . Journal of Financial and Quantitative Analysis , 6 : 287 – 308 .
  • Karpoff , J. M. 1987 . The relation between price changes and tradingvolume:asurvey . JournalofFinancialand Quantitative Analysis , 22 : 109 – 123 .
  • Merrick , J. 1987 . Volume determination in stock and stock index futures markets: an analysis of arbitrage and volatility e?ects . Journal of Futures Markets , 7 : 483 – 496 .
  • Schwert , G. 1990 . Stock volatility and the Crash of '87 . Review of Financial Studies , 3 : 77 – 102 .

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