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The effects of futures trading on stock market volatility

Hodgson, Allan; Pope, Peter - 1989

Persistent link: https://www.econbiz.de/10000829671

The relationship between implied volatility and autocorrelation

Faff, Robert W.; McKenzie, Michael D. - In: International Journal of Managerial Finance 3 (2007) 2, pp. 191-196

Purpose – This paper empirically assesses the determinants of conditional stock index autocorrelation with particular emphasis on the impact of return volatility that are theoretically linked through the behaviour of feedback traders. Design/methodology/approach – The S&P 100, 500 and the...

Persistent link: https://www.econbiz.de/10014785263

The relationship between implied volatility and autocorrelation

Faff, Robert W.; McKenzie, Michael D. - In: International Journal of Managerial Finance 3 (2007) April, pp. 191-196

Persistent link: https://www.econbiz.de/10005081163

An examination of the effects of major political change on stock market volatility : the South African experience

Brooks, Robert - In: Journal of international financial markets, … 7 (1997) 3, pp. 255-275

Persistent link: https://www.econbiz.de/10001238418

Time-varying beta risk of Australian industry portfolios : a comparison of modelling techniques

Brooks, Robert - In: Australian journal of management 23 (1998) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10001256324

An evaluation of volatility forecasting techniques

Brailsford, Timothy J. - In: Journal of banking & finance 20 (1996) 3, pp. 419-438

Persistent link: https://www.econbiz.de/10001197045

New insights into the impact of the introduction of futures trading on stock price volatility

McKenzie, Michael D.; Brailsford, Timothy J.; Faff, … - In: The journal of futures markets 21 (2001) 3, pp. 237-255

Persistent link: https://www.econbiz.de/10001556709

An evaluation of volatility forecasting techniques

Brailsford, Timothy J.; Faff, Robert W. - 1994

Persistent link: https://www.econbiz.de/10000894255

The impact of stock index futures trading on daily returns seasonality : a multicountry study

Faff, Robert W.; McKenzie, Michael D. - In: The journal of business : B 75 (2002) 1, pp. 95-125

Persistent link: https://www.econbiz.de/10001641883

Modeling the risk and return relation conditional on markt volatility and market conditions

Galagedera, Don U. A.; Faff, Robert W. - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 75-95

Persistent link: https://www.econbiz.de/10002625219