Share price volatility with the introduction of individual share futures on the Sydney Futures Exchange
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References listed on IDEAS
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- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- 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.
- Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
- 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.
- 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.
- Dale, Charles & Workman, Rosemarie, 1981. "Measuring patterns of price movements in the Treasury bill futures market," MPRA Paper 48639, University Library of Munich, Germany.
- 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,"
157, Federal Reserve Bank of Minneapolis.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
- 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.
- 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.
- Kenneth C. Froewiss, 1978. "GNMA futures: stabilizing or destabilizing?," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 20-29.
- Turnovsky, Stephen J, 1983. "The Determination of Spot and Futures Prices with Storable Commodities," Econometrica, Econometric Society, vol. 51(5), pages 1363-87, September.
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