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A study of the lead-lag relationship between price change and trading volume in futures market using high-frequency data

Streeter, Denise W.; Najand, Mohammad; Dondeti, V. Reddy; … - In: International journal of bonds and derivatives 1 (2015) 4, pp. 284-301

Persistent link: https://www.econbiz.de/10011546737

Carbon future price return, oil future price return and stock index future price return in the U.S.

Wei, Ching Chun; Lin, Ya-Ling - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 4, pp. 655-662

Persistent link: https://www.econbiz.de/10011550607

Theories of risk : testing investor behavior on the Taiwan stock and stock index futures markets

Clark, Ephraim; Qiao, Zhuo; Wong, Wing Keung - In: Economic inquiry : journal of the Western Economic … 54 (2016) 2, pp. 907-924

Persistent link: https://www.econbiz.de/10011551910

The impacts of institutional and individual investors on the price discovery in stock index futures market : evidence from China

Xu, Feng; Wan, Difang - In: Finance research letters 15 (2015), pp. 221-231

Persistent link: https://www.econbiz.de/10011553214

Implied volatility smirk and future stock returns : evidence from the German market

Mo, Di; Todorova, Neda; Gupta, Rakesh - In: Managerial finance 41 (2015) 12, pp. 1357-1379

Persistent link: https://www.econbiz.de/10011504242

Volatility co-movements : a time-scale decomposition analysis

Cipollini, Andrea; Lo Cascio, Iolanda; Muzzioli, Silvia - In: Journal of empirical finance 34 (2015), pp. 34-44

Persistent link: https://www.econbiz.de/10011556988

Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices

Wu, Feng; Myers, Robert J.; Guan, Zhengfei; Wang, Zhiguang - In: Journal of empirical finance 34 (2015), pp. 260-274

Persistent link: https://www.econbiz.de/10011557143

Clustering of trading activity in the DAX index options market

Koch, Alexander K.; Lazarov, Zdravetz N. - 2001

Trades in DAX index options with identical maturities cluster around particular classes of strike prices. For example, options with strikes ending on 50 are less traded than options with strikes ending on 00. Clustering is higher when options with close strike prices are good substitutes. The...

Persistent link: https://www.econbiz.de/10011539670

Differences in trading and pricing between stock and index options

Lemmon, Michael L.; Ni, Sophie Xiaoyan - In: Management science : journal of the Institute for … 60 (2014) 8, pp. 1985-2001

Persistent link: https://www.econbiz.de/10010403590

Does the cost of Carry model accurately predict price behavior of stock index futures during the global financial crisis?

Hsu, Yueh-yuan; Wang, Janchung - In: The empirical economics letters : a monthly … 13 (2014) 3, pp. 295-303

Persistent link: https://www.econbiz.de/10010406066

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