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Simultaneous Volatility Effects in Index Futures

Author

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  • Gannon, G.L.

Abstract

No abstract is available for this item.

Suggested Citation

  • Gannon, G.L., 1994. "Simultaneous Volatility Effects in Index Futures," Papers 94-1, Melbourne - Centre in Finance.
  • Handle: RePEc:fth:melrfi:94-1
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    Citations

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    Cited by:

    1. Gannon, Gerard L. & Choi, Daniel F. S., 1998. "Structural models: Intra/Inter-day volatility transmission and spillover persistence of the HSI, HSIF and S&P500 futures," International Review of Financial Analysis, Elsevier, vol. 7(1), pages 19-36.
    2. Chionis, Dionysios & MacDonald, Ronald, 1997. "Some tests of market microstructure hypotheses in the foreign exchange market," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 203-229, October.
    3. Poshakwale, Sunil S. & Aquino, Katty PĂ©rez, 2008. "The dynamics of volatility transmission and information flow between ADRs and their underlying stocks," Global Finance Journal, Elsevier, vol. 19(2), pages 187-201.
    4. Chng, Michael & Gannon, Gerard, 2003. "Contemporaneous intraday volume, option, and futures volatility transmissions across parallel markets," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 49-68.
    5. Chng, Michael T., 2004. "The trading dynamics of close-substitute futures markets: evidence of margin policy spillover effects," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 463-483.
    6. Tan, Oon Geok & Gannon, Gerard L., 2002. "'Information effect' of economic news: SPI futures," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 467-489.
    7. Gannon, Gerard, 2005. "Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 326-336.
    8. Chng, Michael T., 2009. "Economic linkages across commodity futures: Hedging and trading implications," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 958-970, May.

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    Keywords

    financial market;

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