Oliver, B.; Tahir, M. - In: Pacific Accounting Review 9 (1997) 1, pp. 43-50
This paper investigates the impact on the price volatility of Australian 90 day Bank Accepted Bills (BABs) when the futures contracts written on BABs expire. Using the absolute value of log price changes as a measure of volatility, and appropriate nonāparametric tests, the analysis does not...