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The international price transmission in stock index futures markets

Yang, Jian; Bessler, David A. - In: Economic inquiry : journal of the Western Economic … 42 (2004) 3, pp. 370-386

Persistent link: https://www.econbiz.de/10002141196

The impact of stock index futures trading on daily returns seasonality : a multicountry study

Faff, Robert W.; McKenzie, Michael D. - In: The journal of business : B 75 (2002) 1, pp. 95-125

Persistent link: https://www.econbiz.de/10001641883

Stock index futures markets : stochastic volatility models and smiles

Tompkins, Robert G. - In: The journal of futures markets 21 (2001) 1, pp. 43-78

Persistent link: https://www.econbiz.de/10001537233

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

Floor trading versus electronic screen trading : an empirical analysis of market liquidity and information transmission in the Nikkei stock index futures market

Vila, Anne Fremault; Sandmann, Gleb - 1995

Persistent link: https://www.econbiz.de/10000921059

Intraday Volatility in International Stock Index Futures Markets : Meteor Showers or Heat Waves?

Booth, G. Geoffrey; Chowdhury, Mustafa; Martikainen, Teppo - 2022

The international transmission of intraday price volatility among the United States, United Kingdom, and Japanese stock index futures markets in the period 1988-1994 is investigated in this paper. The empirical results based on extreme-value estimators and vector autoregression indicate the...

Persistent link: https://www.econbiz.de/10013309647