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Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis

Citations

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Cited by:

  1. Arif Oduncu, 2011. "The Effects of Currency Futures Trading on Turkish Currency Market," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 5(1), pages 97-109.
  2. 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.
  3. Isabel Figuerola-Ferretti & Christopher L. Gilbert, 2001. "Has Futures Trading Affected the Volatility of Aluminium Transactions Prices?," Working Papers 432, Queen Mary University of London, School of Economics and Finance.
  4. Gregory, Allan W. & McCurdy, Thomas H., 1984. "Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 357-368, December.
  5. Senol Emir & Hasan Dincer & Umit Hacioglu & Serhat Yuksel, 2016. "Random Regression Forest Model using Technical Analysis Variables: An application on Turkish Banking Sector in Borsa Istanbul (BIST)," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 5(3), pages 85-102, April.
  6. Isabel Figuerola-Ferretti & Christopher L. Gilbert, 2001. "Has Futures Trading Affected the Volatility of Aluminium Transactions Prices?," Working Papers 432, Queen Mary University of London, School of Economics and Finance.
  7. ap Gwilym, Rhys & Ebrahim, M. Shahid & El Alaoui, Abdelkader O. & Rahman, Hamid & Taamouti, Abderrahim, 2020. "Financial frictions and the futures pricing puzzle," Economic Modelling, Elsevier, vol. 87(C), pages 358-371.
  8. 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.
  9. D. Friedman & G.W. Harrison & J.W. Salmon, 1982. "The Informational Role of Futures Markets and Learning Behaviour: Some experimental evidence," Economics Discussion / Working Papers 82-07, The University of Western Australia, Department of Economics.
  10. Subrahmanyam, Avanidhar, 2008. "Learning from experience and trading volume," Review of Financial Economics, Elsevier, vol. 17(4), pages 245-260, December.
  11. Alexander Guembel, 2001. "Emerging Markets and Entry by Actively Managed Funds," Economics Series Working Papers 2001-FE-12, University of Oxford, Department of Economics.
  12. Ebrahim, M. Shahid & Jaafar, Aziz & Omar, Fatma A. & Salleh, Murizah Osman, 2016. "Can Islamic injunctions indemnify the structural flaws of securitized debt?," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 271-286.
  13. Murizah Osman Salleh & Aziz Jaafar & M. Shahid Ebrahim, 2011. "The Inhibition of Usury (Riba An-Nasi'ah) and the Economic Underdevelopment of the Muslim World," Working Papers 11002, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  14. Avanidhar Subrahmanyam, 2008. "Learning from experience and trading volume," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 245-260, December.
  15. Falatoonzadeh, Hamid & Conner, J. Richard & Pope, Rulon D., 1985. "Risk Management Strategies To Reduce Net Income Variability For Farmers," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 17(1), pages 1-14, July.
  16. Palm, F C & Vogelvang, E, 1986. "A Short-run Econometric Analysis of the International Coffee Market," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 13(4), pages 451-476.
  17. Alexander Gümbel, 2001. "Emerging Markets and Entry by Actively Managed Funds," OFRC Working Papers Series 2001fe12, Oxford Financial Research Centre.
  18. Matthew Spiegel, 1996. "Stock Price Volatility in a Multiple Security Overlapping Generations Model," Finance 9608002, University Library of Munich, Germany.
  19. Ian Gale & Joseph Stiglitz, 1989. "A Simple Proof That Futures Markets are Almost Always Informationally Inefficient," NBER Working Papers 3209, National Bureau of Economic Research, Inc.
  20. Ming†Chang Wang & Lon†Ping Zu, 2013. "Trade Timing, Price Volatility and Serial Correlation," European Financial Management, European Financial Management Association, vol. 19(5), pages 911-934, November.
  21. Campbell, Robert B. & Turnovsky, Stephen J., 1985. "An analysis of the stabilizing and welfare effects of intervention in spot and futures markets," Journal of Public Economics, Elsevier, vol. 28(2), pages 165-209, November.
  22. Itay Goldstein & Liyan Yang, 2022. "Commodity Financialization and Information Transmission," Journal of Finance, American Finance Association, vol. 77(5), pages 2613-2667, October.
  23. Kasman, Adnan & Kasman, Saadet, 2008. "The impact of futures trading on volatility of the underlying asset in the Turkish stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2837-2845.
  24. Jing Hao & Xiong Xiong & Feng He & Feng Ma, 2019. "Price Discovery in the Chinese Stock Index Futures Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(13), pages 2982-2996, October.
  25. ap Gwilym, Rhys & Ebrahim, M. Shahid, 2013. "Can position limits restrain ‘rogue’ trading?," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 824-836.
  26. Gumbel, Alexander, 2005. "Herding in delegated portfolio management: When is comparative performance information desirable?," European Economic Review, Elsevier, vol. 49(3), pages 599-626, April.
  27. Shareen Joshi & Jeffrey Parker & Mark A. Bedau, 1998. "Technical Trading Creates a Prisoner's Dilemma: Results from an Agent-Based Model," Research in Economics 98-12-115e, Santa Fe Institute.
  28. Richard K. Lyons, 1993. "Optimal Transparency in a Dealership Market with an Application to Foreign Exchange," NBER Working Papers 4467, National Bureau of Economic Research, Inc.
  29. Ebrahim, M. Shahid & Mathur, Ike, 2013. "On the efficiency of the UPREIT organizational form: Implications for the subprime crisis and CDO's," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 286-305.
  30. Dorn, Daniel & Strobl, Günter, 2023. "Rational disposition effects: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 153(C).
  31. Chordia, Tarun & Subrahmanyam, Avanidhar, 2004. "Order imbalance and individual stock returns: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 72(3), pages 485-518, June.
  32. Palm, F.C. & Vogelvang, E., 1985. "An econometric analysis of the short-run demand for coffee," Serie Research Memoranda 0017, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  33. Liwei Jin & Xianghui Yuan & Jun Long & Xiang Li & Feng Lian, 2022. "Price discovery in the CSI 300 Index derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1352-1368, July.
  34. Narayan, Paresh Kumar & Nasiri, Maryam Akbari, 2020. "Understanding corporate debt from the oil market perspective," Energy Economics, Elsevier, vol. 92(C).
  35. Joseph E. Stiglitz, 2011. "Rethinking Macroeconomics: What Failed, And How To Repair It," Journal of the European Economic Association, European Economic Association, vol. 9(4), pages 591-645, August.
  36. Holden, Craig W & Subrahmanyam, Avanidhar, 1996. "Risk Aversion, Liquidity, and Endogenous Short Horizons," The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 691-722.
  37. Gilbert, Christopher L., 1990. "The rational expectations hypothesis in models of primary commodity prices," Policy Research Working Paper Series 384, The World Bank.
  38. Nielsen, Lars Tyge, 1996. "Common knowledge: The case of linear regression," Journal of Mathematical Economics, Elsevier, vol. 26(3), pages 285-304.
  39. Bullock, David William, 1989. "Options and market information: a mean-variance portfolio approach," ISU General Staff Papers 1989010108000010107, Iowa State University, Department of Economics.
  40. Chavas, Jean-Paul & Pope, Rulon D. & Kao, Robert S., 1983. "An Analysis Of The Role Of Futures Prices, Cash Prices And Government Programs In Acreage Response," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 8(1), pages 1-7, July.
  41. Salm, Christian A. & Schuppli, Michael, 2010. "Positive feedback trading in stock index futures: International evidence," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 313-322, December.
  42. Michael Sockin & Wei Xiong, 2013. "Informational Frictions and Commodity Markets," NBER Working Papers 18906, National Bureau of Economic Research, Inc.
  43. Bernhard Eckwert & Andreas Szczutkowski, 2006. "Rationally mispriced assets in equilibrium," Spanish Economic Review, Springer;Spanish Economic Association, vol. 8(4), pages 285-299, December.
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