Index Futures Trading, Information and Stock Market Volatility: The Case of Greece
Author:
Publisher
Palgrave Macmillan UK
Link
http://link.springer.com/content/pdf/10.1057/9781137554178_6
Reference39 articles.
1. Bologna, P. and Cavallo, L. (2002) ‘Does the Introduction of Stock Index Futures Effectively Reduce Stock Market Volatility? Is the ‘Futures Effect’ Immediate? Evidence from the Italian Stock Exchange using GARCH’, Applied Financial Economics, Vol. 12, pp. 183–192.
2. S. Kyle (1985 ‘Continuous Auctions and Insider Trading’, Econometrica, Vol. 53, pp. 1315–1335) defines market depth as the order flow required to move prices by one unit. Market depth is related to non-informational trading activity and provides additional information about the interaction between price volatility and trading volume.
3. Stein, J. (1987) ‘Informational Externalities and Welfare-reducing Speculation’, Journal of Political Economy, Vol. 95, pp. 1123–1145.
4. Subrahmanyam, A. (1991) ‘A Theory of Trading in Stock Index Futures’, Review of Financial Studies, Vol. 4, pp. 17–51.
5. Newbery, D. M. (1987) ‘When Do Futures Destabilize Spot Prices?’, International Economic Review, Vol. 28, pp. 291–297.
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