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Index futures trading and spot price volatility : evidence from an emerging market

Spyrou, Spyros I. - In: Journal of emerging market finance 4 (2005) 2, pp. 151-167

Persistent link: https://www.econbiz.de/10003094783

Are broad market shocks anticipated by investors? : evidence from major equity and index options markets

Spyrou, Spyros I. - In: International review of financial analysis 20 (2011) 3, pp. 127-133

Persistent link: https://www.econbiz.de/10009295799

Index futures and positive feedback trading : evidence from major stock exchanges

Antoniou, Antonios; Koutmos, Gregory; Pericli, Andreas … - In: Journal of empirical finance 12 (2005) 2, pp. 219-238

Persistent link: https://www.econbiz.de/10002685067

Systematic risk and returns to stock index futures contracts : international evidence

Antoniou, Antonios - In: The journal of futures markets 14 (1994) 7, pp. 773-787

Persistent link: https://www.econbiz.de/10001171163

The effects of stock index futures trading on stock index volatility : an analysis of the asymmetric response of volatility to news

Antoniou, Antonios - In: The journal of futures markets 18 (1998) 2, pp. 151-166

Persistent link: https://www.econbiz.de/10001239196

Futures market efficiency, the unbiasedness hypothesis and variance-bounds tests : the case of the FTSE-100 futures contract

Antoniou, Antonios - In: Bulletin of economic research 48 (1996) 2, pp. 115-128

Persistent link: https://www.econbiz.de/10001201748

Index futures and positive feedback trading : evidence from major stock exchanges

Antoniou, Antonios; Koutmos, Gregory; Pericli, Andreas - 1998

Persistent link: https://www.econbiz.de/10001416416

Futures trading, information and spot price volatility : evidence for the FTSE-100 stock index futures contract using GARCH

Antoniou, Antonios - In: Journal of banking & finance 19 (1995) 1, pp. 117-129

Persistent link: https://www.econbiz.de/10001181872

Testing for Long Memory in the Feedback Mechanism in the Futures Markets

Antoniou, Antonios; Koutmos, Gregory; Pescetto, Gioia - In: Review of Behavioral Finance 3 (2011) November, pp. 78-90

This paper investigates the possibility that futures markets attract noise traders who engage in positive feedback trading, an especially destabilizing form of noise trading. The hypothesis is tested using data from four major national index futures markets. The empirical evidence is consistent...

Persistent link: https://www.econbiz.de/10010561776

Testing for Long Memory in the Feedback Mechanism in the Futures Markets

Antoniou, Antonios; Koutmos, Gregory; Pescetto, Gioia - In: Review of Behavioural Finance 3 (2011) 2, pp. 78-90

Persistent link: https://www.econbiz.de/10014990026