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The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE

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  • Mazouz, Khelifa
  • Bowe, Michael
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    File URL: http://www.sciencedirect.com/science/article/B6W4W-4HGM98D-4/2/e742c4bd012a75bb23afa44b083d0d7b
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 15 (2006)
    Issue (Month): 1 ()
    Pages: 1-20

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    Handle: RePEc:eee:finana:v:15:y:2006:i:1:p:1-20

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    Web page: http://www.elsevier.com/locate/inca/620166

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    References

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    1. Chatrath, Arjun & Ramchander, Sanjay & Song, Frank, 1998. "Speculative activity and stock market volatility," Journal of Economics and Business, Elsevier, vol. 50(4), pages 323-337, July.
    2. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
    3. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
    4. Stein, Jeremy C., 1987. "Informational Externalities and Welfare-Reducing Speculation," Scholarly Articles 3660740, Harvard University Department of Economics.
    5. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    6. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
    7. Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-53, July.
    8. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    9. George Pennacchi & Gary Gorton, . "Security Baskets and Index-Linked Securities," Rodney L. White Center for Financial Research Working Papers 29-89, Wharton School Rodney L. White Center for Financial Research.
    10. Mun, Johnathan C. & Vasconcellos, Geraldo M. & Kish, Richard, 1999. "Tests of the Contrarian Investment Strategy Evidence from the French and German stock markets," International Review of Financial Analysis, Elsevier, vol. 8(3), pages 215-234, March.
    11. Cox, Charles C, 1976. "Futures Trading and Market Information," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1215-37, December.
    12. Dennis, Steven A. & Sim, Ah Boon, 1999. "Share price volatility with the introduction of individual share futures on the Sydney Futures Exchange," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 153-163, June.
    13. Skinner, Douglas J., 1989. "Options markets and stock return volatility," Journal of Financial Economics, Elsevier, vol. 23(1), pages 61-78, June.
    14. Ma, Christopher K & Rao, Ramesh P, 1988. "Information Asymmetry and Options Trading," The Financial Review, Eastern Finance Association, vol. 23(1), pages 39-51, February.
    15. Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-43, July.
    16. Nathan Lael Joseph, 2003. "Using monthly returns to model conditional heteroscedasticity," Applied Economics, Taylor & Francis Journals, vol. 35(7), pages 791-801.
    17. Lee, Chun I. & Tong, Hung Cheong, 1998. "Stock futures: the effects of their trading on the underlying stocks in Australia," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 285-301, September.
    18. Mazouz, Khelifa, 2004. "The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 695-708, December.
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    Cited by:
    1. Agyei-Ampomah, Sam & Mazouz, Khelifa, 2011. "The comovement of option listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2056-2069, August.

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