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The Relative Volatility Of The Markets In Equities And Index Futures

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Listed:
  • John Board
  • Charles Sutcliffe

Abstract

No abstract is available for this item.

Suggested Citation

  • John Board & Charles Sutcliffe, 1995. "The Relative Volatility Of The Markets In Equities And Index Futures," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 22(2), pages 201-223, March.
    • Handle: RePEc:bla:jbfnac:v:22:y:1995:i:2:p:201-223
    DOI: 10.1111/j.1468-5957.1995.tb00679.x
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    References listed on IDEAS

    as
    1. Gary A. Bortz, 1984. "Does the treasury bond futures market destabilize the treasury bond cash market?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 4(1), pages 25-38, March.
    2. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
    3. Pradeep K. Yadav & Peter F. Pope, 1990. "Stock index futures arbitrage: International evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(6), pages 573-603, December.
    4. Chu, Chen-Chin & Bubnys, Edward L, 1990. "A Likelihood Ratio Test of Price Volatilities: Comparing Stock Index Spot and Futures," The Financial Review, Eastern Finance Association, vol. 25(1), pages 81-94, February.
    5. Bradford Cornell, 1985. "Taxes and the pricing of stock index futures: Empirical results," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(1), pages 89-101, March.
    6. B. Wade Brorsen, 1991. "Futures trading, transaction costs, and stock market volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(2), pages 153-163, April.
    7. J.L.G. Board & C.M.S. Sutcliffe, 1988. "The Weekend Effect In Uk Stock Market Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 15(2), pages 199-213, June.
    8. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 441-468, December.
    9. Brenner, Menachem & Subrahmanyam, Marti G. & Uno, Jun, 1989. "The behavior of prices in the Nikkei spot and futures market," Journal of Financial Economics, Elsevier, vol. 23(2), pages 363-383, August.
    10. Franks, Julian R & Schwartz, Eduardo S, 1991. "The Stochastic Behaviour of Market Variance Implied in the Prices of Index Options," Economic Journal, Royal Economic Society, vol. 101(409), pages 1460-1475, November.
    11. repec:bla:jfinan:v:43:y:1988:i:2:p:451-66 is not listed on IDEAS
    12. Hemler, Michael L. & Longstaff, Francis A., 1991. "General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(3), pages 287-308, September.
    13. repec:bla:jfinan:v:44:y:1989:i:5:p:1115-53 is not listed on IDEAS
    14. Park, Hun Y, 1993. "Trading Mechanisms and Price Volatility: Spot versus Futures," The Review of Economics and Statistics, MIT Press, vol. 75(1), pages 175-179, February.
    15. Ball, Clifford A & Torous, Walter N, 1986. "Futures Options and the Volatility of Futures Prices," Journal of Finance, American Finance Association, vol. 41(4), pages 857-870, September.
    Full references (including those not matched with items on IDEAS)

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