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Speculative activity and stock market volatility

  • Chatrath, Arjun
  • Ramchander, Sanjay
  • Song, Frank
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    File URL: http://www.sciencedirect.com/science/article/B6V7T-3X6J8JJ-1/2/5a869562e376d858b858b385a3dc27d3
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    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 50 (1998)
    Issue (Month): 4 (July)
    Pages: 323-337

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    Handle: RePEc:eee:jebusi:v:50:y:1998:i:4:p:323-337
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconbus

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    1. Working, Holbrook, 1960. "Speculation on Hedging Markets," Food Research Institute Studies, Stanford University, Food Research Institute, issue 02, May.
    2. Cox, Charles C, 1976. "Futures Trading and Market Information," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1215-37, December.
    3. G.J. Santoni, 1987. "Has programmed trading made stock prices more volatile?," Review, Federal Reserve Bank of St. Louis, issue May, pages 18-29.
    4. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-21, May.
    5. Powers, Mark J, 1970. "Does Futures Trading Reduce Price Fluctuations in the Cash Markets?," American Economic Review, American Economic Association, vol. 60(3), pages 460-64, June.
    6. Driskill, Robert & McCafferty, Stephen & Sheffrin, Steven M, 1991. "Speculative Intensity and Spot and Futures Price Variability," Economic Inquiry, Western Economic Association International, vol. 29(4), pages 737-51, October.
    7. Skinner, Douglas J., 1989. "Options markets and stock return volatility," Journal of Financial Economics, Elsevier, vol. 23(1), pages 61-78, June.
    8. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    9. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 21-39, March.
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