Speculative activity and stock market volatility
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economics and Business.
Volume (Year): 50 (1998)
Issue (Month): 4 (July)
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Web page: http://www.elsevier.com/locate/jeconbus
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- 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.
- 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.
- G.J. Santoni, 1987. "Has programmed trading made stock prices more volatile?," Review, Federal Reserve Bank of St. Louis, issue May, pages 18-29.
- Working, Holbrook, 1960. "Speculation on Hedging Markets," Food Research Institute Studies, Stanford University, Food Research Institute, issue 02, May.
- Skinner, Douglas J., 1989. "Options markets and stock return volatility," Journal of Financial Economics, Elsevier, vol. 23(1), pages 61-78, June.
- 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.
- Cox, Charles C, 1976. "Futures Trading and Market Information," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1215-37, December.
- 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.
- 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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