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Speculative activity and stock market volatility

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  • Chatrath, Arjun
  • Ramchander, Sanjay
  • Song, Frank
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    File URL: http://www.sciencedirect.com/science/article/B6V7T-3X6J8JJ-1/2/5a869562e376d858b858b385a3dc27d3
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 50 (1998)
    Issue (Month): 4 (July)
    Pages: 323-337

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    Handle: RePEc:eee:jebusi:v:50:y:1998:i:4:p:323-337

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    Web page: http://www.elsevier.com/locate/jeconbus

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    References

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    1. G.J. Santoni, 1987. "Has programmed trading made stock prices more volatile?," Review, Federal Reserve Bank of St. Louis, issue May, pages 18-29.
    2. Powers, Mark J, 1970. "Does Futures Trading Reduce Price Fluctuations in the Cash Markets?," American Economic Review, American Economic Association, vol. 60(3), pages 460-64, June.
    3. Cox, Charles C, 1976. "Futures Trading and Market Information," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1215-37, December.
    4. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    5. Skinner, Douglas J., 1989. "Options markets and stock return volatility," Journal of Financial Economics, Elsevier, vol. 23(1), pages 61-78, June.
    6. Working, Holbrook, 1960. "Speculation on Hedging Markets," Food Research Institute Studies, Stanford University, Food Research Institute, issue 02, May.
    7. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-21, May.
    8. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 21-39, March.
    9. Driskill, Robert & McCafferty, Stephen & Sheffrin, Steven M, 1991. "Speculative Intensity and Spot and Futures Price Variability," Economic Inquiry, Western Economic Association International, vol. 29(4), pages 737-51, October.
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    Cited by:
    1. Mazouz, Khelifa & Bowe, Michael, 2006. "The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 1-20.

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