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Race to the center: competition for the Nikkei 225 futures trade

  • Ito, Takatoshi
  • Lin, Wen-Ling

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File URL: http://www.sciencedirect.com/science/article/B6VFG-435CHG9-1/2/6e67ca267ac6c2a4afbc5fc637040bfa
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 8 (2001)
Issue (Month): 3 (July)
Pages: 219-242

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Handle: RePEc:eee:empfin:v:8:y:2001:i:3:p:219-242
Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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  1. Gikas A. Hardouvelis, 1988. "Margin requirements, volatility, and the transitory component of stock prices," Research Paper 8818, Federal Reserve Bank of New York.
  2. Fremault, Anne, 1991. "Stock Index Futures and Index Arbitrage in a Rational Expectations Model," The Journal of Business, University of Chicago Press, vol. 64(4), pages 523-47, October.
  3. Subrahmanyam, Avanidhar, 1991. "A Theory of Trading in Stock Index Futures," Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 17-51.
  4. George Sofianos, 1988. "Margin requirements on equity instruments," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 47-60.
  5. Schwert, C.W., 1989. "Margin Requirements And Stock Volatility," Papers t6, Columbia - Center for Futures Markets.
  6. Board, J. & Sutcliffe, C., 1993. "The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk," Papers 93-76, University of Southampton - Department of Accounting and Management Science.
  7. Chan, Kalok & Chan, K C & Karolyi, G Andrew, 1991. "Intraday Volatility in the Stock Index and Stock Index Futures Markets," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 657-84.
  8. Arturo Estrella, 1988. "Consistent margin requirements: are they feasible?," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 61-79.
  9. Hardouvelis, Gikas A & Peristiani, Stavros, 1992. "Margin Requirements, Speculative Trading, and Stock Price Fluctuations: The Case of Japan," The Quarterly Journal of Economics, MIT Press, vol. 107(4), pages 1333-70, November.
  10. Danthine, Jean-Pierre, 1978. "Information, futures prices, and stabilizing speculation," Journal of Economic Theory, Elsevier, vol. 17(1), pages 79-98, February.
  11. Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
  12. Hsieh, David A & Miller, Merton H, 1990. " Margin Regulation and Stock Market Volatility," Journal of Finance, American Finance Association, vol. 45(1), pages 3-29, March.
  13. Salinger, M.A., 1989. "Stock Market Margin Requirements And Volatility: Implications For Regulation Of Stock Index Futures," Papers t4, Columbia - Center for Futures Markets.
  14. Hartzmark, Michael L, 1986. "The Effects of Changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance," The Journal of Business, University of Chicago Press, vol. 59(2), pages S147-80, April.
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