𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Volatility, volume, and the notion of balance in the S&P 500 cash and futures markets

✍ Scribed by Sharon Brown-Hruska; Gregory Kuserk


Publisher
John Wiley and Sons
Year
1995
Tongue
English
Weight
689 KB
Volume
15
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis


for their comments and contributions to this research. The views expressed here are those of the authors and do not necessarily reflect those of the Commodity Futures Trading Commission or its staff. 'Slrategic Assessment (1990), p. 25.


πŸ“œ SIMILAR VOLUMES


Volume and Volatility Surrounding Quarte
✍ Ira G. Kawaller; Paul D. Koch; John E. Peterson πŸ“‚ Article πŸ“… 2001 πŸ› John Wiley and Sons 🌐 English βš– 189 KB πŸ‘ 1 views

## Abstract During the last weeks before each quarterly expiration of Standard & Poor's (S&P) 500 futures, the bulk of trading volume begins to shift away from the next‐to‐expire (nearby or lead) contract toward the second‐to‐expire (next out) contract. At some point, the exchange formally redesign

Contemporary and long-run correlations:
✍ Lee, Gary G. J. πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 237 KB

In this article, a multivariate component model for conditional asset return covariance is developed as an extension to the univariate volatility component model of Engle & Lee (1999). The conditional covariance now is decomposed into a long-run (trend) component and a short-run (transitory) compone

The relationship between the volatilitie
✍ Li-Ming Han; Lalatendu Misra πŸ“‚ Article πŸ“… 1990 πŸ› John Wiley and Sons 🌐 English βš– 743 KB

he volatility of the stock market is a matter of great concern to investors. The high T level of market volatility has attracted regulatory attention since the crash of October 19, 1987. The stock market is believed to be more volatile now than it has been in the past. Investor surveys conducted aft