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Citations of
Kuldeep Shastri

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. 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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Working papers

    Sorry, no citations of working papers recorded.

Articles

  1. Coughenour, Jay & Shastri, Kuldeep, 1999. "Symposium on Market Microstructure: A Review of Empirical Research," The Financial Review, Eastern Finance Association, vol. 34(4), pages 1-27, November.

    Cited by:

    1. Emanuela Trifan, 2004. "Entscheidungsregeln und ihr Einfluss auf den Aktienkurs," Darmstadt Discussion Papers in Economics 131, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
    2. Emanuela Trifan, 2004. "Decision Rules and their Influence on Asset Prices," Darmstadt Discussion Papers in Economics 139, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]

  2. Raman Kumar & Atulya Sarin & Kuldeep Shastri, 1998. "The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 53(2), pages 717-732, 04. [Downloadable!] (restricted)

    Cited by:

    1. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September. [Downloadable!] (restricted)
    2. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Kabir, R., 1997. "The price and volatility effects of stock option introductions : a reexamination," Discussion Paper 37, Tilburg University, Center for Economic Research. [Downloadable!]
    4. Quentin C. Chu & Mustafa Mesut Kayali, 2006. "Standard & Poor’S Depositary Receipts And The Market Quality Of S&P 500 Index Futures," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3). [Downloadable!] (restricted)
    5. de Jong, Cyriel & Koedijk, Kees & Schnitzlein, Charles, 2002. "Stock Market Quality in the Prescence of a Traded Option," CEPR Discussion Papers 3173, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    6. Jong, C.M. de, 2001. "Informed Option Trading Strategies," Research Paper ERS-2001-55-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    7. Stewart Mayhew & Vassil Mihov, 2000. "Another Look at Option Listing Effects," Finance 0004002, EconWPA. [Downloadable!]
    8. Roberto Pascual & Alvaro Escribano & Mikel Tapia, 2004. "On the bi-dimensionality of liquidity," European Journal of Finance, Taylor and Francis Journals, vol. 10(6), pages 542-566, December. [Downloadable!] (restricted)
    9. Sabrina Ecca & Michele Marchesi & Alessio Setzu, 2008. "Modeling and Simulation of an Artificial Stock Option Market," Computational Economics, Springer, vol. 32(1), pages 37-53, September. [Downloadable!] (restricted)

  3. Shastri, Kuldeep & Sultan, Jahangir & Tandon, Kishore, 1996. "The impact of the listing of options in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 37-64, February. [Downloadable!] (restricted)

    Cited by:

    1. Andreas Röthig, 2004. "Currency Futures and Currency Crises," Darmstadt Discussion Papers in Economics 136, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
    2. Thomas Kraus & Heinz Zimmermann, 2002. "Stock Option Listings:Information versus Liquidity Effects," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(I), pages 83-97, March. [Downloadable!]

  4. Mayhew, Stewart & Sarin, Atulya & Shastri, Kuldeep, 1995. " The Allocation of Informed Trading across Related Markets: An Analysis of the Impact of Changes in Equity-Option Margin Requirements," Journal of Finance, American Finance Association, vol. 50(5), pages 1635-53, December. [Downloadable!] (restricted)

    Cited by:

    1. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    2. Ghulam Sarwar, 2004. "The informational role of option trading volume in the S&P 500 futures options markets," Applied Financial Economics, Taylor and Francis Journals, vol. 14(16), pages 1197-1210, November. [Downloadable!] (restricted)
    3. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes," Working Paper Series 2005-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    4. Rafiqul Bhuyan, 2002. "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance 0211002, EconWPA. [Downloadable!]
    5. Bronka Rzepkowski, 2003. "Order Flows, Delta Hedging and Exchange Rate Dynamics," Working Papers 2003-18, CEPII research center. [Downloadable!]
    6. Jun Pan & Allen Poteshman, 2004. "The Information of Option Volume for Future Stock Prices," NBER Working Papers 10925, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  5. Shastri, Kuldeep & Sirodom, Kulpatra, 1995. "An empirical test of the BS and CSR valuation models for warrants listed in Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 3(4), pages 465-483, December. [Downloadable!] (restricted)

    Cited by:

    1. Horst, J. ter & Veld, C., 2002. "Behavioral preferences for individual securities: : the case for call warrants and call options," Discussion Paper 95, Tilburg University, Center for Economic Research. [Downloadable!]

  6. Shastri, Karen A. & Shastri, Kuldeep & Sirodom, Kulpatra, 1995. "Trading mechanisms and return volatility: An empirical analysis of the stock exchange of Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 357-370, July. [Downloadable!] (restricted)

    Cited by:

    1. Silvio John Camilleri & Christopher J. Green, 2005. "The Impact of the Suspension of Opening and Closing Call," Finance 0506006, EconWPA. [Downloadable!]
      Other versions:

  7. Jayaraman, Narayanan & Shastri, Kuldeep & Tandon, Kishore, 1993. "The impact of international cross listings on risk and return : The evidence from American depository receipts," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 91-103, February. [Downloadable!] (restricted)

    Cited by:

    1. Asli Bayar & Zeynep Önder, 2005. "Liquidity and price volatility of cross-listed French stocks," Applied Financial Economics, Taylor and Francis Journals, vol. 15(15), pages 1079-1094, October. [Downloadable!] (restricted)
    2. Gauri L. Ghai, Maria E. De Boyrie, Shahid Hamid, Arun J. Prakash, 2001. "Estimation of global systematic risk for securities listed in multiple markets," European Journal of Finance, Taylor and Francis Journals, vol. 7(2), pages 117-130, June. [Downloadable!] (restricted)
    3. Sarkissian, Sergei & Schill, Michael J., 2004. "Are There Permanent Valuation Gains to Overseas Listing? Evidence from Market Sequencing and Selection," Working Papers 05-4, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
    4. Stephen R. Foerster & G. Andrew Karolyi, . "The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US," Research in Financial Economics 9606, Ohio State University. [Downloadable!]
    5. Mark Schaub, 2004. "Market timing effects on the investment performance of Asia-Pacific and European ADRs listed on the New York stock exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 14(15), pages 1059-1066, October. [Downloadable!] (restricted)
    6. Franco Parisi, 1997. "Los ADRS Chilenos y sus Implicancias en Precio y Varianza en sus Activos Subyacentes," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(102), pages 217-236. [Downloadable!]
    7. Gozzi, Juan Carlos & Levine, Ross & Schmukler, Sergio L., 2006. "Internationalization and the evolution of corporate valuation," Policy Research Working Paper Series 3933, The World Bank. [Downloadable!]
      Other versions:
    8. Leyuan You and Brian Lucey, 2008. "An Empirical Study of Multiple Listings," The Institute for International Integration Studies Discussion Paper Series iiisdp273, IIIS. [Downloadable!]
    9. Kaul, Aditya & Mehrotra, Vikas & Phillips, Blake, 2006. "Ownership, Foreign Listings, and Market Valuation," CEI Working Paper Series 2005-13, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    10. William A. Reese, Jr. & Michael S. Weisbach, 2001. "Protection of Minority Shareholder Interests, Cross-listings in the United States, and Subsequent Equity Offerings," NBER Working Papers 8164, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  8. Shastri, Kuldeep & Tandon, Kishore, 1987. "Valuation of American options on foreign currency," Journal of Banking & Finance, Elsevier, vol. 11(2), pages 245-269, June. [Downloadable!] (restricted)

    Cited by:

    1. Vivek Bhargava, Robert Brooks, D.K. Malhotra, 2001. "Implied volatilities, stochastic interest rates, and currency futures options valuation: an empirical investigation," European Journal of Finance, Taylor and Francis Journals, vol. 7(3), pages 231-246, September. [Downloadable!] (restricted)

  9. Geske, Robert & Shastri, Kuldeep, 1985. "The early exercise of American puts," Journal of Banking & Finance, Elsevier, vol. 9(2), pages 207-219, June. [Downloadable!] (restricted)

    Cited by:

    1. Vivek Bhargava, Robert Brooks, D.K. Malhotra, 2001. "Implied volatilities, stochastic interest rates, and currency futures options valuation: an empirical investigation," European Journal of Finance, Taylor and Francis Journals, vol. 7(3), pages 231-246, September. [Downloadable!] (restricted)
    2. Antonella Basso & Martina Nardon & Paolo Pianca, 2004. "A two-step simulation procedure to analyze the exercise features of American options," Decisions in Economics and Finance, Springer, vol. 27(1), pages 35-56, 08. [Downloadable!] (restricted)

  10. Shastri, Kuldeep & Tandon, Kishore, 1985. "Arbitrage tests of the efficiency of the foreign currency options market," Journal of International Money and Finance, Elsevier, vol. 4(4), pages 455-468, December. [Downloadable!] (restricted)

    Cited by:

    1. Kleopatra Nikolaou & Lucio Sarno, 2005. "New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market," Money Macro and Finance (MMF) Research Group Conference 2005 77, Money Macro and Finance Research Group. [Downloadable!]

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This page was last updated on 2009-11-12.

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