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Introducing the mini-futures contract on Ibex 35: implications for price discovery and volatility transmission

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Author Info
M. Illueca
J. Lafuente ()

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File URL: http://hdl.handle.net/10.1007/s10108-007-9036-0
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Publisher Info
Article provided by Springer in its journal Spanish Economic Review.

Volume (Year): 10 (2008)
Issue (Month): 3 (September)
Pages: 197-219
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Handle: RePEc:spr:specre:v:10:y:2008:i:3:p:197-219

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Related research
Keywords: Futures trading; Price discovery; Destabilization; G13;

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  1. Shalen, Catherine T, 1993. "Volume, Volatility, and the Dispersion of Beliefs," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(2), pages 405-34. [Downloadable!] (restricted)
  2. Bessembinder, Hendrik & Seguin, Paul J, 1992. " Futures-Trading Activity and Stock Price Volatility," Journal of Finance, American Finance Association, vol. 47(5), pages 2015-34, December. [Downloadable!] (restricted)
  3. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-38, August. [Downloadable!] (restricted)
    Other versions:
  4. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January. [Downloadable!] (restricted)
  5. Johnston, Elizabeth Tashjian & McConnell, John J, 1989. "Requiem for a Market: An Analysis of the Rise and Fall of a Financial Futures Contract," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 2(1), pages 1-23. [Downloadable!] (restricted)
  6. John Board & Gleb Sandmann & Charles Sutcliffe, 2001. "The Effect of Futures Market Volume on Spot Market Volatility," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 28(7&8), pages 799-819. [Downloadable!] (restricted)
  7. Bashtannyk, David M. & Hyndman, Rob J., 2001. "Bandwidth selection for kernel conditional density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 36(3), pages 279-298, May. [Downloadable!] (restricted)
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  8. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(3), pages 473-506. [Downloadable!] (restricted)
  9. Campbell, John Y & Grossman, Sanford J & Wang, Jiang, 1993. "Trading Volume and Serial Correlation in Stock Returns," The Quarterly Journal of Economics, MIT Press, vol. 108(4), pages 905-39, November. [Downloadable!] (restricted)
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  10. Lee, Yi-Tsung & Lin, Ji-Chai & Liu, Yu-Jane, 1999. "Trading patterns of big versus small players in an emerging market: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 701-725, May. [Downloadable!] (restricted)
  11. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March. [Downloadable!]
  12. Kurov, Alexander & Lasser, Dennis J., 2004. "Price Dynamics in the Regular and E-Mini Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(02), pages 365-384, June. [Downloadable!]
  13. Harrison Hong, 2000. "A Model of Returns and Trading in Futures Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 959-988, 04. [Downloadable!] (restricted)
  14. Pennings, Joost M. E. & M. Leuthold, Raymond, 2001. "Introducing new futures contracts: reinforcement versus cannibalism," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 659-675, October. [Downloadable!] (restricted)
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