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A Reverse Index Futures Split Effect on Liquidity and Market Dynamics
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Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/1096-9934(200011)20:10<943::aid-fut4>3.0.co;2-8openalex-extracted
Trading volume, bid-ask spread, and price volatility in futures markets
inferredcites →https://doi.org/10.1002/fut.10086openalex-extracted
Optimal contract design: For whom?
inferredcites →https://doi.org/10.1002/fut.20237openalex-extracted
Does an index futures split enhance trading activity and hedging effectiveness of the futures contract?
inferredcites →https://doi.org/10.1002/fut.3990010205openalex-extracted
Innovation, competition, and new contract design in futures markets
inferredcites →https://doi.org/10.1016/0304-405x(83)90034-xopenalex-extracted
Transactions data tests of efficiency of the Chicago board options exchange
inferredcites →https://doi.org/10.1016/j.jeconom.2006.05.019openalex-extracted
Measuring volatility with the realized range
inferredcites →https://doi.org/10.1016/j.jempfin.2010.08.003openalex-extracted
Volatility and trading activity following changes in the size of futures contracts
inferredcites →https://doi.org/10.1016/s0927-538x(00)00037-8openalex-extracted
The successful redenomination of a futures contract: The case of the Australian all ordinaries share price index futures contract
inferredcites →https://doi.org/10.1017/cbo9781139164863.010openalex-extracted
Multiple Structural Change Models: A Simulation Analysis
inferredcites →https://doi.org/10.1023/b:requ.0000004782.92370.89openalex-extracted
The Split of the S&P 500 Futures Contract: Effects on Liquidity and Market Dynamics
inferredcites →https://doi.org/10.1086/296071openalex-extracted
The Extreme Value Method for Estimating the Variance of the Rate of Return
inferredcites →https://doi.org/10.1086/466758openalex-extracted
Innovation by an Exchange: A Case Study of the Development of the Plywood Futures Contract
inferredcites →https://doi.org/10.1111/1540-6261.00454openalex-extracted
Range‐Based Estimation of Stochastic Volatility Models
inferredcites →https://doi.org/10.1111/j.1540-6288.1999.tb00470.xopenalex-extracted
Changing the Size of a Futures Contract: Liquidity and Microstructure Effects
inferredcites →https://doi.org/10.2139/ssrn.1087123openalex-extracted
Volatility and Trading Activity Following Changes in the Size of Futures Contracts
inferredcites →https://doi.org/10.2307/2938229openalex-extracted
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
inferredcites →https://doi.org/10.2307/2998540openalex-extracted
Estimating and Testing Linear Models with Multiple Structural Changes
inferredcites →https://doi.org/10.2469/faj.v54.n1.2142openalex-extracted
Is It Time to Split the S&P 500 Futures Contract?
inferredcites →https://doi.org/10.5089/9781451869378.001openalex-extracted
Testing for Structural Breaks in Small Samples
inferredcites →https://doi.org/10.1002/jae.659openalex-snapshot
Computation and analysis of multiple structural change models
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