Stock price volatility: Some evidence from an ARCH model
- 1 April 1991
- journal article
- research article
- Published by Wiley in Journal of Futures Markets
- Vol. 11 (2), 191-200
- https://doi.org/10.1002/fut.3990110206
Abstract
No abstract availableThis publication has 21 references indexed in Scilit:
- Is Stock Price Volatility Increasing?CFA Magazine, 1989
- Futures trading and cash market volatility: Stock index and interest rate futuresJournal of Futures Markets, 1988
- Program trading and stock and futures price volatilityJournal of Futures Markets, 1988
- Index futures, program trading, and stock market proceduresJournal of Futures Markets, 1988
- Does Futures Trading Increase Stock Market Volatility?CFA Magazine, 1988
- Program Trading and Expiration-Day EffectsCFA Magazine, 1987
- Evidence on the Effect of Option Expirations on Stock PricesCFA Magazine, 1987
- Some determinants of the volatility of futures pricesJournal of Futures Markets, 1985
- Hedging Performance and Basis Risk in Stock Index FuturesThe Journal of Finance, 1984
- Financial futures markets: Is more regulation needed?Journal of Futures Markets, 1981