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The effects of amendments to rule 80a on liquidity, volatility, and price efficiency in the S&P 500 futures

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  • Gregory J. Kuserk
  • Peter R. Locke
  • Chera L. Sayers

Abstract

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  • Gregory J. Kuserk & Peter R. Locke & Chera L. Sayers, 1992. "The effects of amendments to rule 80a on liquidity, volatility, and price efficiency in the S&P 500 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(4), pages 383-409, August.
    • Handle: RePEc:wly:jfutmk:v:12:y:1992:i:4:p:383-409
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    Cited by:

    1. Mercer, Jeffrey M., 1997. "An alternative specification for intraday simultaneity in spot and futures markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 667-682.
    2. A. Tolga Ergun, 2009. "NYSE Rule 80A restrictions on index arbitrage and market linkage," Applied Financial Economics, Taylor & Francis Journals, vol. 19(20), pages 1675-1685.
    3. Goldstein, Michael A. & Kavajecz, Kenneth A., 2004. "Trading strategies during circuit breakers and extreme market movements," Journal of Financial Markets, Elsevier, vol. 7(3), pages 301-333, June.
    4. Michael A. Goldstein & Kenneth A. Kavajecz, "undated". "Liquidity Provision during Circuit Breakers and Extreme Market Movements," Rodney L. White Center for Financial Research Working Papers 1-00, Wharton School Rodney L. White Center for Financial Research.

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