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Trading behavior of institutional investors and stock index futures returns in Taiwan

Lai, Hung-Cheng; Wang, Kuan Min - In: The journal of behavioral finance : a publication of … 16 (2015) 4, pp. 311-326

Persistent link: https://www.econbiz.de/10011566143

Trading activity and Nifty index futures volatility : an empirical analysis

Jena, Sangram Keshari; Dash, Ashutosh - In: Applied financial economics 24 (2014) 16/18, pp. 1167-1176

Persistent link: https://www.econbiz.de/10010418929

Do volume and open interest explain volatility? : an inquiry into the Indian commodity markets

Maitra, Debasish - In: Journal of financial economic policy 6 (2014) 3, pp. 226-243

Persistent link: https://www.econbiz.de/10010490589

Futures trading and commodity spot market volatility : empirical evidence on selected commodities in Indian market

Parsa, Masoud; Mallikarjunappa, T. - In: Risk and decision analysis 5 (2014) 1, pp. 43-61

Persistent link: https://www.econbiz.de/10010492584

The effects of information asymmetries on the ex-post success of stock option listings

Bernales, Alejandro - 2014

Persistent link: https://www.econbiz.de/10010438918

Trading activities and the volatility of return on Malaysian crude palm oil futures

Yeap, Xiu Wei; Hooi Hooi Lean - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-15

Trading activities represent the flow of market information to the investors. This paper examines the effect of trading activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH model is applied by adding the expected and...

Persistent link: https://www.econbiz.de/10012814162

Expiration day effects and market manipulation : evidence from Taiwan

Chow, Edward Hsing-yi; Hung, Chung-wen; Liu, Christine … - In: Review of quantitative finance and accounting 41 (2013) 3, pp. 441-462

Persistent link: https://www.econbiz.de/10010188258

Analysis of volatility volume and open interest for Nifty Index futures using GARCH analysis and VAR model

Dungore, Parizad Phiroze; Patel, Sarosh Hosi - In: International Journal of Financial Studies : open … 9 (2021) 1/7, pp. 1-11

The generalized autoregressive conditional heteroscedastic model (GARCH) is used to estimate volatility for Nifty Index futures on day trades. The purpose is to find out if a contemporaneous or causal relation exists between volatility volume and open interest for Nifty Index futures traded on...

Persistent link: https://www.econbiz.de/10012422654

The determinants of CDS open interest dynamics

Silva, Paulo Pereira da; Vieira, Carlos; Vieira, Isabel - In: Journal of financial stability 21 (2015), pp. 95-109

Persistent link: https://www.econbiz.de/10011574427

Dynamic spillover effects in futures markets : UK and US evidence

Antonakakis, Nikolaos; Floros, Christos; Kizys, Renatas - In: International review of financial analysis 48 (2016), pp. 406-418

Persistent link: https://www.econbiz.de/10011624538