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Share price volatility with the introduction of individual share futures on the Sydney Futures Exchange

  • Dennis, Steven A.
  • Sim, Ah Boon
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    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 8 (1999)
    Issue (Month): 2 (June)
    Pages: 153-163

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    Handle: RePEc:eee:finana:v:8:y:1999:i:2:p:153-163
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    1. Anne E. Peck, 1976. "Futures Markets, Supply Response, and Price Stability," The Quarterly Journal of Economics, Oxford University Press, vol. 90(3), pages 407-423.
    2. Weller, Paul & Yano, Makoto, 1987. "Forward Exchange, Futures Trading, and Spot Price Variability: A General Equilibrium Approach," Econometrica, Econometric Society, vol. 55(6), pages 1433-50, November.
    3. Kenneth C. Froewiss, 1978. "GNMA futures: stabilizing or destabilizing?," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 20-29.
    4. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
    5. Turnovsky, Stephen J, 1983. "The Determination of Spot and Futures Prices with Storable Commodities," Econometrica, Econometric Society, vol. 51(5), pages 1363-87, September.
    6. Dale, Charles & Workman, Rosemarie, 1981. "Measuring patterns of price movements in the Treasury bill futures market," MPRA Paper 48639, University Library of Munich, Germany.
    7. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
    8. Masahiro Kawai, 1983. "Spot and Futures Prices of Nonstorable Commodities Under Rational Expectations," The Quarterly Journal of Economics, Oxford University Press, vol. 98(2), pages 235-254.
    9. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
    10. W. Gary Simpson & Timothy C. Ireland, 1982. "The effect of futures trading on the price volatility of gnma securities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 2(4), pages 357-366, December.
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