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Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis

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  • Bray, Margaret M
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    Bibliographic Info

    Article provided by Econometric Society in its journal Econometrica.

    Volume (Year): 49 (1981)
    Issue (Month): 3 (May)
    Pages: 575-96

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    Handle: RePEc:ecm:emetrp:v:49:y:1981:i:3:p:575-96

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    Cited by:
    1. Richard K. Lyons., 1993. "Optimal Transparency in a Dealership Market with an Application to Foreign Exchange," Research Program in Finance Working Papers RPF-231, University of California at Berkeley.
    2. ap Gwilym, Rhys & Ebrahim, M. Shahid, 2013. "Can position limits restrain ‘rogue’ trading?," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 824-836.
    3. Palm, F.C. & Vogelvang, E., 1985. "An econometric analysis of the short-run demand for coffee," Serie Research Memoranda 0017, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    4. Salm, Christian A. & Schuppli, Michael, 2010. "Positive feedback trading in stock index futures: International evidence," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 313-322, December.
    5. Subrahmanyam, Avanidhar, 2008. "Learning from experience and trading volume," Review of Financial Economics, Elsevier, vol. 17(4), pages 245-260, December.
    6. Murizah Osman Salleh & Aziz Jaafar & M. Shahid Ebrahim, 2011. "The Inhibition of Usury (Riba An-Nasi'ah) and the Economic Underdevelopment of the Muslim World," Working Papers 11002, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    7. Matthew Spiegel, 1996. "Stock Price Volatility in a Multiple Security Overlapping Generations Model," Finance 9608002, EconWPA.
    8. Nielsen, Lars Tyge, 1996. "Common knowledge: The case of linear regression," Journal of Mathematical Economics, Elsevier, vol. 26(3), pages 285-304.
    9. Michael Sockin & Wei Xiong, 2013. "Informational Frictions and Commodity Markets," NBER Working Papers 18906, National Bureau of Economic Research, Inc.
    10. Arif Oduncu, 2011. "The Effects of Currency Futures Trading on Turkish Currency Market," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 5(1), pages 97-109.
    11. Kasman, Adnan & Kasman, Saadet, 2008. "The impact of futures trading on volatility of the underlying asset in the Turkish stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2837-2845.
    12. Gumbel, Alexander, 2005. "Herding in delegated portfolio management: When is comparative performance information desirable?," European Economic Review, Elsevier, vol. 49(3), pages 599-626, April.
    13. Gilbert, Christopher L., 1990. "The rational expectations hypothesis in models of primary commodity prices," Policy Research Working Paper Series 384, The World Bank.
    14. Palm, F C & Vogelvang, E, 1986. "A Short-run Econometric Analysis of the International Coffee Market," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 13(4), pages 451-76.
    15. Chordia, Tarun & Subrahmanyam, Avanidhar, 2004. "Order imbalance and individual stock returns: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 72(3), pages 485-518, June.

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