Common volatility in major stock index futures markets

Author:

Geoffrey Booth G.,Chowdhury Mustafa,Martikainen Teppo

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference22 articles.

1. The relationship between daily US and Japanese equity prices: Evidence from spot versus futures markets;Aggarwal;Journal of Banking and Finance,1994

2. International stock markets linkages: Evidence from the pre- and post-October 1987 period;Arshanapalli;Journal of Banking and Finance,1993

3. The overnight and daily transmission of stock index futures prices between major international markets;Becker;Journal of Business Finance and Accounting,1993

4. The international lead-lag effect between market returns: Comparison of stock index futures and cash markets;Booth;Journal of International Financial Markets, Institutions and Money,1994

5. The behaviour of prices in the Nikkei spot index futures markets;Brenner;Journal of Financial Economics,1989

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