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International transmission on information in corn futures markets

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  • Geoffrey Booth, G.
  • Ciner, Cetin
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    File URL: http://www.sciencedirect.com/science/article/B6VGV-3SX21KP-1/2/fc5ed625777faa2a970c9409c5203244
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 7 (1997)
    Issue (Month): 3 (October)
    Pages: 175-187

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    Handle: RePEc:eee:mulfin:v:7:y:1997:i:3:p:175-187

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

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. G. Geoffrey Booth & Mustafa Chowdhury, 1996. "Information noise and stock return volatility: evidence from Germany," Applied Economics Letters, Taylor & Francis Journals, vol. 3(8), pages 537-540.
    2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    3. Barclay, Michael J & Litzenberger, Robert H & Warner, Jerold B, 1990. "Private Information, Trading Volume, and Stock-Return Variances," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 233-53.
    4. repec:att:wimass:9220 is not listed on IDEAS
    5. Amihud, Yakov & Mendelson, Haim, 1991. " Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, vol. 46(5), pages 1765-89, December.
    6. Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
    7. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
    8. Koutmos, Gregory & Booth, G Geoffrey, 1995. "Asymmetric volatility transmission in international stock markets," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 747-762, December.
    9. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    10. Heinkel, Robert & Kraus, Alan, 1988. "Measuring Event Impacts in Thinly Traded Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(01), pages 71-88, March.
    11. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
    12. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
    13. Roll, Richard, 1984. "Orange Juice and Weather," American Economic Review, American Economic Association, vol. 74(5), pages 861-80, December.
    14. Tse, Yiuman & Lee, Tae-Hwy & Booth, G. Geoffrey, 1996. "The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 447-465, June.
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    Cited by:
    1. Hernandez, Manuel A. & Ibarra, Raul & Trupkin, Danilo R., . "How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 124979, International Association of Agricultural Economists.

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