The proof of the pudding: The effects of increased trade transparency in the London Stock Exchange
Article Abstract:
Effects of increased trade transparency in the London Stock Exchange are examined.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2000
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The effect of futures market volume on spot market volatility
Article Abstract:
The authors use a stochastic volatility model to show that futures market trading does not affect the volatility of the spot market.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2001
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The relative volatility of the markets in equities and index futures
Article Abstract:
Spot and futures price volatility models indicate similar market conditions which are unaffected by input and output frequencies. However, UK tests showed that index futures prices may exhibit twice the volatility of spot markets. Reduced extra futures volatility due to increased input frequency is attributed to spot volatility understatement, outside touch trades, the bid-ask bounce effect and futures noise traders.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1995
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