The effect of spot and futures trading on stock index market volatility: A nonparametric approach
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- M. Illueca & J. A. LaFuente, 2006.
"New evidence on expiration‐day effects using realized volatility: An intraday analysis for the Spanish stock exchange,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 26(9), pages 923-938, September.
- Juan A. Lafuente & Manuel Illueca Muñoz, 2006. "New Evidence On Expiration-Day Effects Using Realized Volatility: An Intraday Analysis For The Spanish Stock Exchange," Working Papers. Serie EC 2006-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- M. Illueca & J. Lafuente, 2008.
"Introducing the mini-futures contract on Ibex 35: implications for price discovery and volatility transmission,"
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Springer;Spanish Economic Association, vol. 10(3), pages 197-219, September.
- Juan A. Lafuente & Manuel Illueca Muñoz, 2004. "Introducing The Mini-Futures Contract On Ibex-35: Implications For Price Discovery And Volatility Transmission," Working Papers. Serie EC 2004-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Sogiakas, Vasilios & Karathanassis, George, 2015. "Informational efficiency and spurious spillover effects between spot and derivatives markets," Global Finance Journal, Elsevier, vol. 27(C), pages 46-72.
- Hung, Mao-Wei & So, Leh-Chyan, 2009. "New insights into India’s single stock futures markets," MPRA Paper 52491, University Library of Munich, Germany.
- Marco Lau & Yongyang Su & Na Tan & Zhe Zhang, 2014. "Hedging China’s energy oil market risks," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(1), pages 99-112, June.
- Juan A. Lafuente & Manuel Illueca Muñoz, 2003. "The Effect Of Futures Trading Activity On The Distribution Of Spot Market Returns," Working Papers. Serie EC 2003-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ozdemir, Zeynel Abidin & Gokmenoglu, Korhan & Ekinci, Cagdas, 2013. "Persistence in crude oil spot and futures prices," Energy, Elsevier, vol. 59(C), pages 29-37.
- George Karathanassis & Vasilios Sogiakas, 2010. "Spill over effects of futures contracts initiation on the cash market: a regime shift approach," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 95-143, January.
- Imran Riaz Malik & Attaullah Shah, 2016. "Resumption of Single Stock Futures (SSFs) with Stringent Regulations and their Impact on the Risk Characteristics of the Underlying Stocks," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 8(2), pages 1-22, October.
- Huang, Bwo-Nung & Yang, C.W. & Hwang, M.J., 2009. "The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach," Energy Economics, Elsevier, vol. 31(1), pages 91-98, January.
- repec:spr:pharme:v:4:y:2014:i:1:p:99-112 is not listed on IDEAS
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