COMMON VOLATILITY IN STANDARD-AND-POOR-500 STOCK INDEX AND STANDARD-AND-POOR-500 INDEX FUTURES PRICES DURING OCTOBER 1987

被引：12

作者：

ARSHANPALLI, B ^{[1
]}

DOUKAS, J ^{[1
]}

机构：

[1] OLD DOMINION UNIV, NORFOLK, VA 23508 USA

来源：

JOURNAL OF FUTURES MARKETS | 1994年 / 14卷 / 08期

关键词：

D O I：

10.1002/fut.3990140805

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

[No abstract available]

引用

页码：915 / 925

页数：11

共 42 条

[1] INTRADAY RELATIONSHIPS BETWEEN VOLATILITY IN STANDARD-AND-POOR-500 FUTURES PRICES AND VOLATILITY IN THE STANDARD-AND-POOR-500 INDEX
KAWALLER, IG
KOCH, PD
KOCH, TW
[J]. JOURNAL OF BANKING & FINANCE, 1990, 14 (2-3) : 373 - 397
[2] INTRADAY MARKET BEHAVIOR AND THE EXTENT OF FEEDBACK BETWEEN STANDARD-AND-POOR-500 FUTURES PRICES AND THE STANDARD-AND-POOR-500 INDEX
KAWALLER, IG
KOCH, PD
KOCH, TW
[J]. JOURNAL OF FINANCIAL RESEARCH, 1993, 16 (02) : 107 - 121
[3] INEFFICIENCIES IN THE STANDARD-AND-POOR-500 STOCK INDEX FUTURES MARKET
SAMUEL, HC
[J]. AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 1993, 75 (05) : 1333 - 1333
[4] INTRADAY PATTERNS IN THE STANDARD-AND-POOR-500 INDEX FUTURES MARKET
EKMAN, PD
[J]. JOURNAL OF FUTURES MARKETS, 1992, 12 (04) : 365 - 381
[5] POSITIVE FEEDBACK TRADERS IN THE STANDARD-AND-POOR-500 INDEX FUTURES MARKET
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[J]. JOURNAL OF FINANCE, 1993, 48 (03): : 1103 - 1104
[6] FURTHER EVIDENCE ON PARITY RELATIONSHIPS IN OPTIONS ON STANDARD-AND-POOR-500 INDEX FUTURES
MARCHAND, PH
LINDLEY, JT
FOLLOWILL, RA
[J]. JOURNAL OF FUTURES MARKETS, 1994, 14 (06) : 757 - 771
[7] AN INTRADAY ANALYSIS OF BID - ASK SPREADS AND PRICE VOLATILITY IN THE STANDARD-AND-POOR-500 INDEX FUTURES MARKET
WANG, GHK
MICHALSKI, RJ
JORDAN, JV
MORIARTY, EJ
[J]. JOURNAL OF FUTURES MARKETS, 1994, 14 (07) : 837 - 859
[8] ASSESSING INEFFICIENCY IN THE STANDARD-AND-POOR-500 FUTURES MARKET
FARRELL, CH
OLSZEWSKI, EA
[J]. JOURNAL OF FORECASTING, 1993, 12 (05) : 395 - 420
[9] INCREASED STOCK VOLATILITY AND EXCESS RETURNS IN THE INDEX FUTURES TRADING ERA - NEW EVIDENCE FROM ADDITIONS TO THE STANDARD-AND-POOR-500 INDEX
THOSAR, S
TRIGEORGIS, L
[J]. JOURNAL OF FINANCE, 1993, 48 (03): : 1120 - 1121
[10] STANDARD-AND-POOR-500 TRADING STRATEGIES AND STOCK BETAS
VIJH, AM
[J]. JOURNAL OF FINANCE, 1993, 48 (03): : 1121 - 1121

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