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Trading-round-the clock : return, volatility and volume spillovers in the Eurodollar futures markets

Abhyankar, Abhay - In: Pacific-Basin finance journal 3 (1995) 1, pp. 75-92

Persistent link: https://www.econbiz.de/10001184050

Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets

Abhyankar, Abhay - In: The journal of futures markets 15 (1995) 4, pp. 457-488

Persistent link: https://www.econbiz.de/10001185355

LIFFE cycles : intraday evidence from the FTSE-100 Stock Index futures market

Abhyankar, Abhay; Copeland, Laurence S.; Wong, W. - In: The European journal of finance 5 (1999) 2, pp. 123-139

Persistent link: https://www.econbiz.de/10001439629

LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market

Abhyankar, A.; Copeland, L. S.; Wong, W. - In: The European Journal of Finance 5 (1999) 2, pp. 123-139

We use a data set consisting of a complete history of all transactions and quotes to examine intraday patterns in trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We document a number of regularities in the pattern of daily returns and volatility...

Persistent link: https://www.econbiz.de/10005471961

Fear sentiment, liquidity, and trading behavior : evidence from the index ETF market

Chiu, Junmao; Chung, Huimin; Ho, Keng-yu - In: Review of Pacific Basin financial markets and policies 17 (2014) 3, pp. 1-25

Persistent link: https://www.econbiz.de/10010402983