Advanced Search
MyIDEAS: Login to save this paper or follow this series

Simultaneous Volatility Effects in Index Futures

Contents:

Author Info

  • Gannon, G.L.
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by Melbourne - Centre in Finance in its series Papers with number 94-1.

    as in new window
    Length: 36 pages
    Date of creation: 1994
    Date of revision:
    Handle: RePEc:fth:melrfi:94-1

    Contact details of provider:
    Postal: Centre in Finance, Department of Economics and Finance, Faculty of Business, RMIT GPO Box 2476V Melbourne, Vic 3000 Australia.
    Phone: +61 3 9925 5858
    Fax: +61 3 9925 5986
    Web page: http://www.rmit.edu.au/bus/ecofin
    More information through EDIRC

    Related research

    Keywords: financial market;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Gerard Gannon, 2004. "Simultaneous Volatility Transmissions and Spillover Effects: US and Hong Kong Stock and Futures Markets," Accounting, Finance, Financial Planning and Insurance Series 2004_09, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    2. Gerard L. Gannon, 2008. "Market Makers V's The General Public: A First Look at S&P500 Futures Trade Data," Accounting, Finance, Financial Planning and Insurance Series 2008_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    3. Gerard Gannon & Siu Pang Au-Yeung, 2007. "Modelling Regulatory Change V's Volume of Trade Effects in HSIF and HSI Volatility: A Note," Accounting, Finance, Financial Planning and Insurance Series 2007_06, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    4. Chng, Michael T., 2004. "The trading dynamics of close-substitute futures markets: evidence of margin policy spillover effects," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 463-483.
    5. Gerard L. Gannon, 2009. "Dispersion of Information or Market Behaviour: General Public Trading in S&P500 Index Futures," Accounting, Finance, Financial Planning and Insurance Series 2009_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    6. Chng, Michael & Gannon, Gerard, 2003. "Contemporaneous intraday volume, option, and futures volatility transmissions across parallel markets," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 49-68.
    7. Gerard Gannon & Chi-Ying Chang, 2007. "Regulatory Change and Micro Structure Effects in SPI Futures," Accounting, Finance, Financial Planning and Insurance Series 2007_08, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    8. Kym Brown, 2001. "Closing the Divide - Issues When Developing a Bond Market: The Case of Sri Lanka," Accounting, Finance, Financial Planning and Insurance Series 2001_06, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    9. Gannon, Gerard, 2005. "Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 326-336.
    10. Chng, Michael T., 2009. "Economic linkages across commodity futures: Hedging and trading implications," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 958-970, May.
    11. Poshakwale, Sunil S. & Aquino, Katty PĂ©rez, 2008. "The dynamics of volatility transmission and information flow between ADRs and their underlying stocks," Global Finance Journal, Elsevier, vol. 19(2), pages 187-201.
    12. Chionis, Dionysios & MacDonald, Ronald, 1997. "Some tests of market microstructure hypotheses in the foreign exchange market," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 203-229, October.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:fth:melrfi:94-1. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.