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Stock futures: the effects of their trading on the underlying stocks in Australia

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  • Lee, Chun I.
  • Tong, Hung Cheong

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  • 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.
    • Handle: RePEc:eee:mulfin:v:8:y:1998:i:2-3:p:285-301
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    References listed on IDEAS

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    1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    2. Brad Baldauf & G. J. Santoni, 1991. "Stock price volatility: Some evidence from an ARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(2), pages 191-200, April.
    3. Nicholas Kaldor, 1939. "Speculation and Economic Stability," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 7(1), pages 1-27.
    4. Forsythe, Robert & Palfrey, Thomas R & Plott, Charles R, 1982. "Asset Valuation in an Experimental Market," Econometrica, Econometric Society, vol. 50(3), pages 537-567, May.
    5. Harris, Lawrence, 1989. " S&P 500 Cash Stock Price Volatilities," Journal of Finance, American Finance Association, vol. 44(5), pages 1155-1175, December.
    6. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Kumar, Umesh & Tse, Yiuman, 2009. "Single-stock futures: Evidence from the Indian securities market," Global Finance Journal, Elsevier, vol. 20(3), pages 220-234.
    2. Wee Ching Pok & Sunil Poshakwale, 2004. "The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 143-154.
    3. Bouchra Benzennou & Owain ap Gwilym & Gwion Williams, 2018. "Are single stock futures used as an alternative during a short‐selling ban?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 66-82, January.
    4. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2009. "Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9‐10), pages 1273-1293, November.
    5. Jędrzej Białkowski & Jacek Jakubowski, 2017. "Determinants of Trading Activity on the Single-Stock Futures Market: Evidence from the Eurex Exchange," Working Papers in Economics 17/16, University of Canterbury, Department of Economics and Finance.
    6. Frankie Chau & Phil Holmes & Krishna Paudyal, 2008. "The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 227-249, January.
    7. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    8. 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.
    9. Hung, Mao-Wei & So, Leh-Chyan, 2009. "New insights into India’s single stock futures markets," MPRA Paper 52491, University Library of Munich, Germany.
    10. Nikolaos Sariannidis & Evangelos Drimbetas, 2008. "Impact of international volatility and the introduction of Individual Stock Futures on the volatility of a small market," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 119-119.
    11. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2009. "Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9-10), pages 1273-1293.

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