Spill over effects of futures contracts initiation on the cash market: a regime shift approach-Reference-Cited by-同舟云学术

Spill over effects of futures contracts initiation on the cash market: a regime shift approach

Published:2009-10-08 Issue:1 Volume:34 Page:95-143
ISSN:0924-865X
Container-title:Review of Quantitative Finance and Accounting
language:en
Short-container-title:Rev Quant Finan Acc

Author:

Karathanassis George A.,Sogiakas Vasilios I.

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11156-009-0149-4.pdf

Reference60 articles.

1. Antoniou A, Holmes P (1995) Futures trading, information and spot price volatility: evidence from the FTSE 100 stock index futures contract using GARCH. J Bank Finance 19:117–129. doi: 10.1016/0378-4266(94)00059-C

2. Antoniou A, Holmes P, Priestley R (1998) The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to news. J Futures Mark 18(2):151–166. doi: 10.1002/(SICI)1096-9934(199804)18:2<151:AID-FUT2>3.0.CO;2-1

3. Bansal VK, Pruitt SW, Wei KCJ (1989) An empirical re-examination of the impact of CBOE option initiation on the volatility and trading volume of the underlying equities: 1973–86’. Financ Rev 24:19–29. doi: 10.1111/j.1540-6288.1989.tb00328.x

4. Bessembinder H, Seguin PJ (1992) Futures-trading activity and stock price volatility. J Finance 47(5):2015–2034. doi: 10.2307/2329008

5. Black F (1976) Studies of stock market volatility changes. In: Proceedings of the American statistical association, business and economic statistics section, pp 177–181

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Do Spot, Futures, and Options Markets Exhibit Price and Volatility Interdependence? Evidence from India;Jindal Journal of Business Research;2023-09-21

2. Impacto de la introducción del contrato futuro del maíz amarillo en la volatilidad del precio spot: evidencia del MexDer;Contaduría y Administración;2019-03-05

3. Intraday price discovery and volatility spillovers in an emerging market;International Review of Economics & Finance;2019-01

4. Informational efficiency and spurious spillover effects between spot and derivatives markets;Global Finance Journal;2015-07

5. Derivatives listing strategy;Journal of Financial Regulation and Compliance;2012-07-20