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Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach

โœ Scribed by Hooi Hooi Lean; Michael McAleer; Wing-Keung Wong

Book ID
108121007
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
241 KB
Volume
32
Category
Article
ISSN
0140-9883

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The effect of spot and futures trading o
The effect of spot and futures trading on stock index market volatility: A nonparametric approach
โœ M. Illueca; J. A. Lafuente ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 289 KB ๐Ÿ‘ 1 views

## Abstract This article provides empirical evidence on the intraday relation between spot volatility and trading volume in the Spanish stock index futures market. GARCH methodology is used to estimate spot volatility. We analyze the potential relation between spot and futures trading volume and sp