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

  • Ito, Takatoshi
  • Lin, Wen-Ling

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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
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  1. Danthine, Jean-Pierre, 1978. "Information, futures prices, and stabilizing speculation," Journal of Economic Theory, Elsevier, vol. 17(1), pages 79-98, February.
  2. Gikas A. Hardouvelis, 1989. "Margin requirements, volatility and the transitory component of stock prices," Research Paper 8909, Federal Reserve Bank of New York.
  3. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-42, May.
  4. 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.
  5. Arturo Estrella, 1988. "Consistent margin requirements: are they feasible?," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 61-79.
  6. Gikas A. Hardouvelis & Steve Peristiani, 1990. "Margin requirements, speculative trading and stock price fluctuations: the case of Japan," Research Paper 9006, Federal Reserve Bank of New York.
  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. 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.
  9. Schwert, C.W., 1989. "Margin Requirements And Stock Volatility," Papers t6, Columbia - Center for Futures Markets.
  10. George Sofianos, 1988. "Margin requirements on equity instruments," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 47-60.
  11. John Board & Charles Sutcliffe, 1996. "The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(1), pages 29-54, 02.
  12. 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.
  13. 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.
  14. Salinger, M.A., 1989. "Stock Market Margin Requirements And Volatility: Implications For Regulation Of Stock Index Futures," Papers t4, Columbia - Center for Futures Markets.
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