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Applied Economics Letters Volume 3, 1996 - Issue 1
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Original Articles

Spot price volatility, information and futures trading: evidence from a thinly traded market

Phil Holmes Department of Economics, University of Durham, Durham, DH1 3HY, UK
Pages 63-66 | Received 03 Jul 1995, Published online: 02 Nov 2006

References

  • Antoniou , A and Holmes , P. 1995 . Futures trading, information and cash price volatility: evidence for the RSE-100 stock index futures contract using GARCH . Journal of Banking and Finance , 19 : 117 – 29 .
  • Bollerslev , T. , Chou , R. Y. and Kroner , K. F. 1992 . ARCH modelling in finance: a review of the theory and empirical evidence . Journal of Econometrics , 52 : 5 – 59 .
  • Edwards , F. R. 1989 . Futures trading and cash market volatility,: stock index and interest rate futures . Journal of Futures Markets , 8 : 421 – 39 .
  • Fama , E. F. 1965 . The behaviour of stock market prices . Journal of Business , 38 : 34 – 105 .
  • Friedman , M. 1953 . Essays in Positive Economics , Chicago : University of Chicago Press .
  • Harris , L. 1989 . S&P500 cash stock price volatilities . Journal of Finance , 44 : 1155 – 75 .
  • Mandelbrot , B. 1963 . The variation of certain speculative prices . Journal of Business , 36 : 394 – 419 .
  • Marshall , A. 1923 . Industry and Trade, , 4th edition , London : MacMillan .
  • Report of the Presidential Task Force on Market Mechanisms (1988).
  • Ross , S. A. 1989 . Information and volatility: the no-arbitrage martingale approach to timing and resolution irrelevancy . Journal of Finance , 44 : 1 – 17 .
  • US Securities and Exchange Commission . 1988 . The October 1987 Market Break US SEC

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