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Futures Trading, Transaction Costs, And Stock Market Volatility




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  • Brorsen, W., 1989. "Futures Trading, Transaction Costs, And Stock Market Volatility," Papers 188, Columbia - Center for Futures Markets.
  • Handle: RePEc:fth:colufu:188

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    Cited by:

    1. Bohl, Martin T. & Diesteldorf, Jeanne & Siklos, Pierre L., 2015. "The effect of index futures trading on volatility: Three markets for Chinese stocks," China Economic Review, Elsevier, vol. 34(C), pages 207-224.
    2. Charupat, Narat, 2006. "The effect of derivative trading on the underlying markets: Evidence from Canadian instalment receipts trading," International Review of Economics & Finance, Elsevier, vol. 15(3), pages 276-293.
    3. Zonghao Chen, 2014. "Index Future Trading, Spot Volatility And Market Efficiency," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(2), pages 73-101, October.
    4. Robert Pollin & Dean Baker & Marc Schaberg, 2003. "Securities Transaction Taxes for U.S. Financial Markets," Eastern Economic Journal, Eastern Economic Association, vol. 29(4), pages 527-558, Fall.
    5. Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011. "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," Energy Economics, Elsevier, vol. 33(3), pages 497-503, May.
    6. Walch, Florian & Lennkh, Rudolf Alvise, 2015. "Collateral damage? Micro-simulation of transaction cost shocks on the value of central bank collateral," Working Paper Series 1793, European Central Bank.
    7. Martin T. Bohl & Jeanne Diesteldorf & Christian A. Salm & Bernd Wilfling, 2016. "Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(1), pages 30-45, January.
    8. Benjamin H. Cohen, 1996. "Derivatives and asset price volatility: a test using variance ratios," BIS Working Papers 33, Bank for International Settlements.
    9. Staikouras, Sotiris K., 2006. "Testing the stabilization hypothesis in the UK short-term interest rates: Evidence from a GARCH-X model," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 169-189, May.
    10. Gary Robinson, 1993. "The Effect of Futures Trading on Cash Market Volatility: Evidence from the London Stock Exchange," Bank of England working papers 19, Bank of England.
    11. Hsu, Chih-Hsiang & Lee, Hsiu-Chuan, 2014. "Insider trading and information revelation with the introduction of futures markets," Economic Modelling, Elsevier, vol. 43(C), pages 173-182.
    12. Koutmos, Gregory, 1998. "Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets," Journal of Economics and Business, Elsevier, vol. 50(3), pages 277-290, May.
    13. Hodgson, Allan & Masih, A. Mansur M. & Masih, Rumi, 2006. "Futures trading volume as a determinant of prices in different momentum phases," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 68-85.

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    financial market ; economic models ; pricing;


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