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Lead-lag associations between option trading and cash market volatility

https://doi.org/10.1080/758538596
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/fut.3990020406openalex-snapshot
The effect of futures trading on the price volatility of gnma securities
inferredcites →https://doi.org/10.1002/fut.3990030202openalex-snapshot
Commercial use and speculative measures of the livestock commodity futures markets
inferredcites →https://doi.org/10.1002/fut.3990060102openalex-snapshot
Lead‐lag relationships between trading volume and price variability: New evidence
inferredcites →https://doi.org/10.1002/fut.3990080404openalex-snapshot
Futures trading and cash market volatility: Stock index and interest rate futures
inferredcites →https://doi.org/10.1002/fut.3990110603openalex-snapshot
Dynamic efficiency and price leadership in stock index cash and futures markets
inferredcites →https://doi.org/10.1016/0022-0531(78)90124-2openalex-snapshot
Information, futures prices, and stabilizing speculation
inferredcites →https://doi.org/10.1080/00036849100000149openalex-snapshot
Derivative securities and cash market stability
inferredcites →https://doi.org/10.1080/07350015.1986.10509491openalex-snapshot
Forecasting With Bayesian Vector Autoregressions—Five Years of Experience
inferredcites →https://doi.org/10.1086/260509openalex-snapshot
Futures Trading and Market Information
inferredcites →https://doi.org/10.1086/261508openalex-snapshot
Informational Externalities and Welfare-Reducing Speculation
inferredcites →https://doi.org/10.1086/296641openalex-snapshot
The Returns and Forecasting Ability of Large Traders in the Frozen Pork Bellies Futures Market
inferredcites →https://doi.org/10.1093/rfs/5.1.35openalex-snapshot
Underestimation of Portfolio Insurance and the Crash of October 1987
inferredcites →https://doi.org/10.1111/j.1540-6261.1981.tb00461.xopenalex-snapshot
Futures Trading and Volatility in the GNMA Market
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02648.xopenalex-snapshot
S&P 500 Cash Stock Price Volatilities
inferredcites →https://doi.org/10.1257/aer.101.5.iopenalex-snapshot
The American Economic Review
inferredcites →https://doi.org/10.22004/ag.econ.285588openalex-snapshot
The Returns and Forecasting Ability of Large Traders in the Frozen Pork Bellies Futures Market
inferredcites →https://doi.org/10.2307/1239556openalex-snapshot
The Price‐Forecasting Performance of Futures Markets for Live Cattle and Hogs: A Disaggregated Analysis
inferredcites →https://doi.org/10.2307/1250791openalex-snapshot
Economics of Futures Trading for Commercial and Personal Profit
inferredcites →https://doi.org/10.2307/1391384openalex-snapshot
Forecasting with Bayesian Vector Autoregressions: Five Years of Experience
inferredcites →https://doi.org/10.2307/1905652openalex-snapshot
A Comparative Study of Alternative Estimators in a Distributed Lag Model
inferredcites →https://doi.org/10.2307/1909776openalex-snapshot
Stock Market Prices and Volumes of Sales
inferredcites →https://doi.org/10.2307/1911513openalex-snapshot
Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis
inferredcites →https://doi.org/10.2307/1912002openalex-snapshot
The Price Variability-Volume Relationship on Speculative Markets
inferredcites →https://doi.org/10.2307/1912517openalex-snapshot
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
inferredcites →https://doi.org/10.2307/1913210openalex-snapshot
Continuous Auctions and Insider Trading
inferredcites →https://doi.org/10.2307/1913236openalex-snapshot
Co-Integration and Error Correction: Representation, Estimation, and Testing
inferredcites →https://doi.org/10.2307/1924495openalex-snapshot
Price Movements and Price Discovery in Futures and Cash Markets
inferredcites →https://doi.org/10.2307/1924980openalex-snapshot
The Dependence of Prices and Volume
inferredcites →https://doi.org/10.2307/2329008openalex-snapshot
Futures-Trading Activity and Stock Price Volatility
inferredcites →https://doi.org/10.2307/2534318openalex-snapshot
Policy Analysis with Econometric Models
inferredcites →https://doi.org/10.3905/jpmopenalex-snapshot
The Journal of Portfolio Management
inferredcites →https://doi.org/10.3905/jpm.1988.409144openalex-snapshot
Volatility and futures

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1326242openalex-extracted
UK Covered Warrants and Their Underlying Shares: A Panel Cointegration Approach
inferred← citeshttps://doi.org/10.2139/ssrn.1540710openalex-extracted
The Informational Role of Options Trading Volume in the Australian Index Options Markets
inferred← citeshttps://doi.org/10.2139/ssrn.269017openalex-extracted
Arbitrage Opportunities in Parallel Markets: The Case of the Czech Republic
inferred← citeshttps://doi.org/10.2139/ssrn.3047441openalex-extracted
Arbitrage Opportunities in Parallel Markets: The Case of the Czech Republic
inferred← citeshttps://doi.org/10.1080/096031000437953openalex-snapshot
Index option market activity and cash market volatility under different market conditions: an empirical study from Sweden
inferred← citeshttps://doi.org/10.1111/j.1467-629x.2007.00210.xopenalex-snapshot
Effects of taxation for option writers: an Australian perspective
inferred← citeshttps://doi.org/10.1177/097324700900500302openalex-snapshot
Impact of Derivatives and Asymmetric Effect on Indian Stock Market Volatility
inferred← citeshttps://doi.org/10.1504/ijbpscm.2010.036166openalex-snapshot
Do futures and options trading increase spot market volatility in India? The case of S&P CNX Nifty
inferred← citeshttps://doi.org/10.2139/ssrn.268103openalex-snapshot
Risk Minimization and Trading Performance of Dynamic Hedging Models: Time Varying Covariance and Volatility Transmission Effects
inferred← citeshttps://doi.org/10.2495/cf060231openalex-snapshot
The impact of the futures market on spot volatility: an analysis in Turkish derivatives markets
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