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Mean Reversions in GNMA Returns
Ma, Christopher K. - In: Real Estate Economics 18 (1990) 2, pp. 207-226
The random-walk hypothesis is tested in the prices of mortgage-backed securities traded in the secondary market. Using the variance ratio test, the random-walk hypothesis is rejected for the daily GNMA bond return. We identify two components in the return series: a systematic component...
Persistent link: https://www.econbiz.de/10005217335
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Market characteristics, option trading, and volatility of the underlying stock
Ma, Christopher K. - In: Advances in futures and options research : a research annual 1 (1986), pp. 193-200
Persistent link: https://www.econbiz.de/10001339365
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Price control versus quantity control : the implication of stabilizing intervention
Ma, Christopher K. - In: The quarterly review of economics and finance : journal … 32 (1992) 1, pp. 84-102
Persistent link: https://www.econbiz.de/10001133233
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Memories, heteroscedasticity, and price limit in currency futures markets
Kao, G. W. - In: The journal of futures markets 12 (1992) 6, pp. 679-692
Persistent link: https://www.econbiz.de/10001133904
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A comparative analysis of price dependence in the spot and futures markets
Rao, Ramesh P. - In: Advances in futures and options research : a research annual 5 (1991), pp. 267-278
Persistent link: https://www.econbiz.de/10001123283
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Testing rationality in futures markets
Ma, Christopher K. - In: The journal of futures markets 10 (1990) 2, pp. 137-152
Persistent link: https://www.econbiz.de/10001128101
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Volatility, price resolution, and the effectiveness of price limits
Ma, Christopher K. - In: Journal of financial services research : JFSR 3 (1989) 2, pp. 165-199
Persistent link: https://www.econbiz.de/10001092930
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Testing unbiasedness in futures markets : a clarification
Hein, Scott E. - In: The journal of futures markets 10 (1990) 5, pp. 555-562
Persistent link: https://www.econbiz.de/10001094580
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The over-the-counter market and New York Stock Exchange trading halts
Fabozzi, Frank J. - In: The financial review : the official publication of the … 23 (1988) 4, pp. 427-437
Persistent link: https://www.econbiz.de/10001061403
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Information asymmetry and options trading
Ma, Christopher K. - In: The financial review : the official publication of the … 23 (1988) 1, pp. 39-51
Persistent link: https://www.econbiz.de/10001061465