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Investors' behavior and futures markets : a dynamic CAPM augmented GJR-GARCH process approach with non-normal distribution

Malik, Imran Riaz; Shah, Attaullah - In: Pakistan journal of applied economics 24 (2014) 2, pp. 121-142

Persistent link: https://www.econbiz.de/10011561707

Investors’ Behavior and Futures Markets : A Dynamic CAPM Augmented GJR-GARCH Process Approach with Non-Normal Distribution

Malik, Imran Riaz - 2017

During the market turmoil, and later in the year 2008, the Securities and Exchange Commission of Pakistan (SECP …) decided to discontinue the trading in single stock futures (SSFs) at the Karachi Stock Exchange (KSE). On 27th July 2009 … futures contracts, as well as, the upcoming options contracts. In this vein, this study attempts to investigate the impact of …

Persistent link: https://www.econbiz.de/10012955047

Price clustering in the Nikkei 225 stock index futures contract on the SIMEX : an intraday empirical analysis

Chueh, Horace - In: Review of Pacific Basin financial markets and policies 3 (2000) 4, pp. 519-533

Persistent link: https://www.econbiz.de/10001561953

M-GARCH hedge ratios and hedging effectiveness in Australian futures markets

Yang, Wenling (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001565307

Expiration and maturity effect : empirical evidence from the Spanish spot and futures stock index

Aragó, Vicent; Fernández Poncet, Adrián - In: Applied economics 34 (2002) 13, pp. 1617-1626

Persistent link: https://www.econbiz.de/10001692502

A censored - GARCH model of asset returns with price limits

Wei, Steven X. - In: Journal of empirical finance 9 (2002) 2, pp. 197-223

Persistent link: https://www.econbiz.de/10001655809

The rapid rise of Russia's wheat exports : price formation, spot-futures relations and volatility effects

Heigermoser, Maximilian - Leibniz-Institut für Agrarentwicklung in … - 2023

in the past, which can contribute to price surges on international markets. Secondly, a functioning futures market … reflecting Black Sea wheat does not yet exist. Grain traders therefore use established futures markets for price discovery and to … physical trade, results in different pricing dynamics on physical and futures markets, and affects futures price volatility by …

Persistent link: https://www.econbiz.de/10013534341

Open interest, volume, and volatility : evidence from Taiwan futures markets

Yen, Stéphane M.; Chen, Ming-hsiang - In: Journal of economics and finance 34 (2010) 2, pp. 113-141

Persistent link: https://www.econbiz.de/10008660612

Hedging with futures : efficacy of GARCH correlation models to European electricity markets

Zanotti, Giovanna; Gabbi, Giampaolo; Geranio, Manuela - In: Journal of international financial markets, … 20 (2010) 2, pp. 135-148

Persistent link: https://www.econbiz.de/10008695508

Margin requirements with intraday dynamics

Cotter, John; Longin, François M. - In: Transparency governance and markets, (pp. 295-322). 2006

Persistent link: https://www.econbiz.de/10003359724