99
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

An investigation of the relationship between bond market volatility and trading activities: Korea treasury bond futures market

Pages 657-661 | Published online: 01 Sep 2006

References

References

  • Bessembinder , H and Seguin , PJ . 1992 . Futures trading activity and stock price volatility . Journal of Finance , 47 : 2015 – 34 .
  • Bessembinder , H and Seguin , PJ . 1993 . Price volatility, trading volume, and market depth: evidence from futures markets . Journal of Financial and Quantitative Analysis , 28 : 21 – 39 .
  • Campbell , JY , Grossman , SJ and Wang , J . 1993 . Trading volume and serial correlation in stock returns . Quarterly Journal of Economics , 108 : 905 – 39 .
  • Clark , PK . 1973 . A subordinated stochastic process model with finite variances for speculative prices . Econometrica , 41 : 135 – 55 .
  • Copeland , TE . 1976 . A model of asset trading under the assumption of sequential information arrival . Journal of Finance , 31 : 1149 – 68 .
  • Copeland , TE . 1977 . A probability model of asset trading . Journal of Financial and Quantitative Analysis , 12 : 563 – 78 .
  • Epps , TW and Epps , ML . 1976 . The stochastic dependence of security price changes and transaction volumes: implications for the mixed of distribution hypothesis . Econometrica , 44 : 305 – 25 .
  • Fung , H-G and Patterson , GA . 1999 . The dynamic relationship of volatility, volume, and market depth in currency futures markets . Journal of International Financial Markets, Institutions and Money , 9 : 33 – 59 .
  • Grossman , SJ . 1988 . An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies . Journal of Business , 61 : 275 – 98 .
  • Gulen , H and Mayhew , S . 2000 . Stock index futures trading and volatility in international equity markets . Journal of Futures Markets , 20 : 661 – 85 .
  • Hagelin , N . 2000 . Index option market activity and cash market volatility under different market conditions: an empirical study from Sweden . Applied Financial Economics , 10 : 597 – 613 .
  • Harris , L . 1986 . Cross-security tests of mixture of distribution hypothesis . Journal of Financial and Quantitative Analysis , 21 : 39 – 46 .
  • Jennings , RH and Barry , C . 1983 . Information dissemination and portfolio choice . Journal of Financial and Quantitative Analysis , 18 : 1 – 19 .
  • Jennings , RH , Starks , LT and Fellingham , JC . 1981 . An equilibrium model of asset trading with sequential information arrival . Journal of Finance , 36 : 143 – 61 .
  • Karpoff , JM . 1987 . The relation between price changes and trading volume: a survey . Journal of Financial and Quantitative Analysis , 22 : 109 – 26 .
  • Kim , M , Kim , GR and Kim , M . 2004 . Stock market volatility and trading activities in the KOSPI 200 derivatives markets . Applied Economics Letters , 11 : 49 – 53 .
  • Kyle AS 1984 A theory of futures market manipulations The Theory of Futures Market (Ed.) P. Weller Blackwell Oxford and Cambridge MA pp. 273–303
  • Mayhew S 2000 The impact of derivatives on cash markets: what have we learned Working Paper, University of Georgia
  • Morse , D . 1981 . Price and trading volume reaction surrounding earnings announcement: a close examination . Journal of Accounting Research , 19 : 374 – 83 .
  • Tauchen , GE and Pitts , M . 1983 . The price volatility-volume relationship on speculative markets . Ecnometrica , 51 : 485 – 505 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.