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Price discovery across the stock index futures and the EFT markets : intra-day evidence from the S&P 500, Nasdaq-100 and DJIA indices

Hseu, Mei-Maun; Chung, Huimin; Sun, Erh-Yin - In: Review of Pacific Basin financial markets and policies 10 (2007) 2, pp. 215-236

Persistent link: https://www.econbiz.de/10003507265

Multivariate GARCH modeling of sector volatility transmission

Hassan, S. Aun; Malik, Farooq - In: The quarterly review of economics and finance : journal … 47 (2007) 3, pp. 470-480

Persistent link: https://www.econbiz.de/10003510404

Trading around macroeconomic announcements : are all traders created equal?

Erenburg, Grigori; Kurov, Alexander; Lasser, Dennis J. - In: Journal of financial intermediation 15 (2006) 4, pp. 470-493

Persistent link: https://www.econbiz.de/10003395882

An empirical model of daily highs and lows

Cheung, Yin-Wong (contributor) - 2006

We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and lows of three main US stock price indexes are cointegrated. Data on openings, closings, and...

Persistent link: https://www.econbiz.de/10003301373

A test of the GARCH (1,1) specification for daily stock returns

Ashley, Richard A.; Patterson, Douglas M. - In: Macroeconomic dynamics 14 (2010), pp. 137-144

Persistent link: https://www.econbiz.de/10003981220

How fast do Tokyo and New York stock exchanges respond to each other?

Tsutsui, Yoshirō; Hirayama, Kenjiro - In: The Japanese economic review : the journal of the … 61 (2010) 2, pp. 175-201

Persistent link: https://www.econbiz.de/10003983098

Regime-switsching in stock index and treasury futures returns and measures of stock market stress

Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: The journal of futures markets 30 (2010) 8, pp. 753-779

Persistent link: https://www.econbiz.de/10003985087

S&P 500 index inclusion announcements: does the S&P committee tell us something new?

Hrazdil, Karel - In: Managerial finance 36 (2010) 5, pp. 368-393

Persistent link: https://www.econbiz.de/10003987898

Thinking about indices and "passive" versus active management

Fuller, Russell J.; Han, Bing; Tung, Yining - In: The journal of portfolio management : a publication of … 36 (2009/10) 4, pp. 35-47

Persistent link: https://www.econbiz.de/10008652180

The impact of individual and institutional investor sentiment on the market price of risk

Verma, Rahul; Soydemir, Gökçe A. - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 1129-1145

Persistent link: https://www.econbiz.de/10003873855

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