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Prudent margin levels in the Finnish stock index futures market

Booth, G. Geoffrey (contributor) - 1995

Persistent link: https://www.econbiz.de/10000913891

Common volatility in major stock index futures markets

Booth, G. Geoffrey; Chowdhury, Mustafa; Tse, Yiuman - 1995

Persistent link: https://www.econbiz.de/10000921825

An examination of intraday common volatility in the German index derivatives markets

So, Raymond W. - In: Journal of multinational financial management 7 (1997) 4, pp. 305-316

Persistent link: https://www.econbiz.de/10001242392

International linkages in Nikkei stock index futures markets

Booth, G. Geoffrey - In: Pacific-Basin finance journal 4 (1996) 1, pp. 59-76

Persistent link: https://www.econbiz.de/10001204433

Price discovery in the German equity index derivatives markets

Booth, G. Geoffrey; So, Raymond W.; Tse, Yiuman - In: The journal of futures markets 19 (1999) 6, pp. 619-643

Persistent link: https://www.econbiz.de/10001410389

Intraday volatility spillovers in the German equity index derivatives markets

Booth, G. Geoffrey; So, Raymond W. - In: Applied financial economics 13 (2003) 7, pp. 487-494

Persistent link: https://www.econbiz.de/10001770769

The international lead-lag effect between market returns : comparison of stock index futures and cash markets

Booth, G. Geoffrey - In: Journal of international financial markets, … 3 (1993) 2, pp. 59-71

Persistent link: https://www.econbiz.de/10001174456

Index Price Discovery in the Cash Market

Fang, Yanhao - 2012

This paper employs Hasbrouck's (2003) information share method to analyze the flow of information in equity markets. In particular we compare trading in Index ETFs with that of their underlying securities. Surprisingly, ETFs seem to play a significant role in the price discovery process, rather...

Persistent link: https://www.econbiz.de/10013114105

Intraday Volatility in International Stock Index Futures Markets : Meteor Showers or Heat Waves?

Booth, G. Geoffrey; Chowdhury, Mustafa; Martikainen, Teppo - 2022

The international transmission of intraday price volatility among the United States, United Kingdom, and Japanese stock index futures markets in the period 1988-1994 is investigated in this paper. The empirical results based on extreme-value estimators and vector autoregression indicate the...

Persistent link: https://www.econbiz.de/10013309647