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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
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Intraday systematic patterns, lead-lag relationships, and pricing efficieny : evidence from the Kuala Lumpur composite index futures
Fauzias Mat Nor; Choo, Tea Lee - In: Regional financial markets : issues and policies, (pp. 182-221). 2004
Persistent link: https://www.econbiz.de/10002793296
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Intradaily patterns in the Korean index futures market
Copeland, Laurence S.; Jones, Sally-Anne - In: Asian economic journal : journal of the East Asian … 16 (2002) 2, pp. 153-174
Persistent link: https://www.econbiz.de/10001695928
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"Information effect" of economic news : SPI futures
Tan, Oon Geok; Gannon, Gerard L. - In: International review of financial analysis 11 (2002) 4, pp. 467-489
Persistent link: https://www.econbiz.de/10001745133
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The impact of index future introduction on spot market returns and trading volume : evidence from Ho Chi Minh stock exchange
Nguyen Thi Kim Anh; Loc Dong Truong - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 8, pp. 51-59
Persistent link: https://www.econbiz.de/10012670603
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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
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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 the National Stock Exchange of India, and the extent and direction of these …
Persistent link: https://www.econbiz.de/10012422654
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Empirical Relationship between Index Futures Prices, Volume and Open Interest : Evidence from Indian Futures Market
Shakeel, Moonis - 2012
This paper examines the relationship between the returns volatility, volume and open interest of the futures market … which is able to explain the volatility. The study is conducted on daily closing index futures prices, volume and open … model the volatility …
Persistent link: https://www.econbiz.de/10013098384
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Relationship between FIIs' herding and returns in the Indian equity market : further empirical evidence
Choudhary, Kapil; Parminder Singh; Soni, Amit - In: Global business review 23 (2022) 1, pp. 137-155
Persistent link: https://www.econbiz.de/10012822101
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On the relationship between implied volatility index and realized return volatility
Shaikh, Imlak - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 1, pp. 225-235
Persistent link: https://www.econbiz.de/10011420602