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Citations for "Informational Externalities and Welfare-Reducing Speculation"

by Stein, Jeremy C.

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  1. Haq, Mamiza & Heaney, Richard, 2009. "European bank equity risk: 1995-2006," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 19(2), pages 274-288, April.
  2. Badreddine, Sina & Galariotis, Emilios C. & Holmes, Phil, 2012. "The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(3), pages 589-608.
  3. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, American Finance Association, vol. 45(2), pages 379-95, June.
  4. 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, Elsevier, vol. 15(1), pages 1-20.
  5. Vives, Xavier, 1997. "Learning from Others: A Welfare Analysis," Games and Economic Behavior, Elsevier, Elsevier, vol. 20(2), pages 177-200, August.
  6. Mendel, Brock & Shleifer, Andrei, 2012. "Chasing noise," Journal of Financial Economics, Elsevier, Elsevier, vol. 104(2), pages 303-320.
  7. 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), Swiss Society of Economics and Statistics (SSES), vol. 138(I), pages 83-97, March.
  8. Gregory R. Duffee & Chunsheng Zhou, 1997. "Credit derivatives in banking: useful tools for managing risk?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1997-13, Board of Governors of the Federal Reserve System (U.S.).
  9. Kenneth A. Froot & David S. Scharfstein & Jeremy C. Stein, 1990. "Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation," NBER Working Papers, National Bureau of Economic Research, Inc 3250, National Bureau of Economic Research, Inc.
  10. Holmberg, P. & Willems, Bert, 2012. "Relaxing Competition through Speculation: Committing to a Negative Supply Slope," Discussion Paper, Tilburg University, Tilburg Law and Economic Center 2012-039, Tilburg University, Tilburg Law and Economic Center.
  11. McNulty, M. & Huffman, Wallace, 1996. "Market Equilibria with Endogenous, Hierarchical Information," Staff General Research Papers, Iowa State University, Department of Economics 5166, Iowa State University, Department of Economics.
  12. Xiong, Wei, 2001. "Convergence trading with wealth effects: an amplification mechanism in financial markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 62(2), pages 247-292, November.
  13. Osler, C. L., 1998. "Short-term speculators and the puzzling behaviour of exchange rates," Journal of International Economics, Elsevier, Elsevier, vol. 45(1), pages 37-57, June.
  14. Michele Fratianni, 2000. "Comment on Aliber's “Capital Flows, Exchange Rates, and the New International Financial Architecture: Six Financial Crises in Search of a Generic Explanationâ€," Open Economies Review, Springer, Springer, vol. 11(1), pages 63-67, August.
  15. Sarno, Lucio & Taylor, Mark P, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2690, C.E.P.R. Discussion Papers.
  16. Wagner, Helmut & Matanovic, Eva, 2012. "Volatility Impact of Stock Index Futures Trading - A Revised Analysis," MPRA Paper, University Library of Munich, Germany 51204, University Library of Munich, Germany.
  17. S. Bhaumik & M. Karanasos & A. Kartsaklas, 2008. "Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan wp935, William Davidson Institute at the University of Michigan.
  18. Chaudhury, Mohammed & Elfakhami, Said, 1997. "Listing of put options: Is there any volatility effect?," Review of Financial Economics, Elsevier, Elsevier, vol. 6(1), pages 57-75.
  19. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, . "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers, University of California at Berkeley, Economics Department _124, University of California at Berkeley, Economics Department.
  20. Thomas M. Mertens & Tarek A. Hassan, 2010. "The Social Cost of Near-Rational Investment," 2010 Meeting Papers, Society for Economic Dynamics 370, Society for Economic Dynamics.
  21. Marcella Nicolini & Matteo Manera & Ilaria Vignati, 2013. "Detecting speculation in volatility of commodities futures markets," EcoMod2013, EcoMod 5125, EcoMod.
  22. Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2003. "Financial Innovation, Market Participation and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc 9840, National Bureau of Economic Research, Inc.
  23. C.L. Osler & John A. Carlson, 1996. "Rational speculators and exchange rate volatility," Staff Reports, Federal Reserve Bank of New York 13, Federal Reserve Bank of New York.
  24. Pasquariello, Paolo, 2007. "Informative trading or just costly noise? An analysis of Central Bank interventions," Journal of Financial Markets, Elsevier, Elsevier, vol. 10(2), pages 107-143, May.
  25. Kasman, Adnan & Kasman, Saadet, 2008. "The impact of futures trading on volatility of the underlying asset in the Turkish stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 387(12), pages 2837-2845.
  26. George Karathanassis & Vasilios Sogiakas, 2010. "Spill over effects of futures contracts initiation on the cash market: a regime shift approach," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 34(1), pages 95-143, January.
  27. Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2013. "Futures price volatility in commodities markets: The role of short term vs long term speculation," Working Papers, University of Milano-Bicocca, Department of Economics 243, University of Milano-Bicocca, Department of Economics, revised May 2013.
  28. Sciubba, E., 1999. "Asymmetric Information and Survival in Financial Markets," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 9908, Faculty of Economics, University of Cambridge.
  29. Charupat, Narat, 2006. "The effect of derivative trading on the underlying markets: Evidence from Canadian instalment receipts trading," International Review of Economics & Finance, Elsevier, Elsevier, vol. 15(3), pages 276-293.
  30. Maurice Peat & M. McCorry, 1997. "Individual Share Futures Contracts: The Economic Impact of Their Introduction on the Underlying Equity Market," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 74, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  31. Lyons, R.K., 1991. "Private Beliefs and Information Externalities in the Foreign Exchange Market," Papers, Columbia - Graduate School of Business 91-17, Columbia - Graduate School of Business.
  32. Benjamin Blau, 2013. "Informed short sales and option introductions," Annals of Finance, Springer, Springer, vol. 9(3), pages 365-382, August.
  33. Dong Lou & Christopher Polk, . "Inferring Arbitrage Activity from Return Correlations," FMG Discussion Papers, Financial Markets Group dp721, Financial Markets Group.
  34. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "The Size and Incidence of the Losses from Noise Trading," NBER Working Papers, National Bureau of Economic Research, Inc 2875, National Bureau of Economic Research, Inc.
  35. Gunther Capelle-Blancard & Dramane Coulibaly, 2011. "Index trading and agricultural commodity prices: A panel Granger causality analysis," Economie Internationale, CEPII research center, CEPII research center, issue 126-127, pages 51-72.
  36. Mazouz, Khelifa, 2004. "The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 11(5), pages 695-708, December.
  37. David Howden, 2010. "Knowledge shifts and the business cycle: When boom turns to bust," The Review of Austrian Economics, Springer, Springer, vol. 23(2), pages 165-182, June.
  38. Hsin, Chin-Wen & Tseng, Po-Wen, 2012. "Stock price synchronicities and speculative trading in emerging markets," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 22(3), pages 82-109.
  39. Fleming, Jeff & Ostdiek, Barbara, 1999. "The impact of energy derivatives on the crude oil market," Energy Economics, Elsevier, Elsevier, vol. 21(2), pages 135-167, April.
  40. Mazouz, Khelifa & Saadouni, Bharim, 2007. "New evidence on the price and liquidity effects of the FTSE 100 index revisions," International Review of Financial Analysis, Elsevier, Elsevier, vol. 16(3), pages 223-241.
  41. Peress, Joel, 2010. "The tradeoff between risk sharing and information production in financial markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 145(1), pages 124-155, January.
  42. Hiremath, Gourishankar S, 2009. "Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review," MPRA Paper, University Library of Munich, Germany 46512, University Library of Munich, Germany.
  43. Fabienne Féménia & Alexandre Gohin, 2010. "Faut-il une intervention publique pour stabiliser les marchés agricoles ? Revue des questions non résolues," Review of Agricultural and Environmental Studies - Revue d'Etudes en Agriculture et Environnement, INRA Department of Economics, INRA Department of Economics, vol. 91(4), pages 435-456.
  44. John Y. Campbell, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 56(1), pages 1-43, 02.
  45. Paul H. Kupiec, 1997. "Margin requirements, volatility, and market integrity: what have we learned since the crash?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1997-22, Board of Governors of the Federal Reserve System (U.S.).
  46. Plourde, André & Watkins, G. C., 1998. "Crude oil prices between 1985 and 1994: how volatile in relation to other commodities?," Resource and Energy Economics, Elsevier, Elsevier, vol. 20(3), pages 245-262, September.
  47. Bryant, Henry L. & Bessler, David A. & Haigh, Michael S., 2003. "Causality In Futures Markets," Working Papers, University of Maryland, Department of Agricultural and Resource Economics 28574, University of Maryland, Department of Agricultural and Resource Economics.
  48. Hsin, Chin-Wen & Guo, Wen-Chung & Tseng, Seng-Su & Luo, Wen-Chih, 2003. "The impact of speculative trading on stock return volatility: the evidence from Taiwan," Global Finance Journal, Elsevier, Elsevier, vol. 14(3), pages 243-270, December.
  49. Salm, Christian A. & Schuppli, Michael, 2010. "Positive feedback trading in stock index futures: International evidence," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(5), pages 313-322, December.
  50. Alp Simsek, 2012. "Speculation and Risk Sharing with New Financial Assets," 2012 Meeting Papers, Society for Economic Dynamics 71, Society for Economic Dynamics.
  51. A. Chatrath & F. Song & B. Adrangi, 2003. "Futures trading activity and stock price volatility: some extensions," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(9), pages 655-664.
  52. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 54(6), pages 2143-2184, December.
  53. Chyi Lee & Simon Stevenson & Ming-Long Lee, 2014. "Futures Trading, Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 48(2), pages 299-322, February.
  54. 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, European Research Studies Journal, vol. 0(3), pages 119-.
  55. Amira, Khaled & Bennour, Khaled, 2010. "Borrowing Constraint and the Effect of Option Introduction," MPRA Paper, University Library of Munich, Germany 26440, University Library of Munich, Germany.
  56. Irina Bilan, 2011. "Public Debt Developments In Eu Member States: Challenges And Solutions," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 2011, pages 57-69, july.
  57. McLaren, John, 1998. "Consequences of discretion in the formation of commodities policy," Journal of Public Economics, Elsevier, Elsevier, vol. 69(3), pages 347-370, September.
  58. Juan A. Lafuente & Manuel Illueca Muñoz, 2003. "The Effect Of Futures Trading Activity On The Distribution Of Spot Market Returns," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2003-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  59. Wang, Changyun, 2001. "The effect of net positions by type of trader on volatility in foreign currency futures markets," MPRA Paper, University Library of Munich, Germany 36428, University Library of Munich, Germany, revised Nov 2001.
  60. Lyons, Richard K., 1997. "A simultaneous trade model of the foreign exchange hot potato," Journal of International Economics, Elsevier, Elsevier, vol. 42(3-4), pages 275-298, May.