Index futures volatility and trading activity: Measuring causality at a multiple horizon

Author:

Jena Sangram Keshari,Tiwari Aviral Kumar,Roubaud David,Shahbaz Muhammad

Publisher

Elsevier BV

Subject

Finance

Reference22 articles.

1. An empirical examination of information, differences of opinion, and trading activity;Bessembinder;J. Financ. Econ.,1996

2. Price volatility, trading volume, and market depth: evidence from futures markets;Bessembinder;J. Financ. Quant. Anal.,1993

3. Explaining Trading Volume in the Euro;Brzeszczynski;Int. J. Finance Econ.,2006

4. A model of asset trading under the assumption of sequential information arrival;Copeland;J. Finance,1976

5. Impact of futures trading activity on stock price volatility of NSE Nifty Stock Index;Debasish;ICFAI J. Deriv. Markets,2008

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