The Impact of SSFs on Market Efficiency and Volatility: A Dynamic CAPM Approach
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/1540496X.2016.1210507
Reference76 articles.
1. Ang, J. S., and Y. Cheng. 2004. Single Stock Futures: Selection for Listing and Trading Volume. Available at SSRN 534543.
2. Single stock futures: Listing selection and trading volume
3. Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH
4. Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets
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