Chan K., Chan, K.C. and G.A. Karolyi (1991), Intraday volatility in the stock index and stock index futures markets, Review of Financial Studies 4, 657-684. Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
Price Discovery across Multiple Spot and Futures Markets - Thomas, Karande (2001) (Correct)
.... between the equity index spot and equity index futures has been the subject of many papers, which broadly find that that price innovations appear first in the futures market and are then transmitted down into the spot market (Stoll and Whaley, 1990; Herbst et al. 1987; Cheung and Ng, 1990; Chan et al. 1991; Chan, 1992; Kawaller et al. 1987) This is consistent with the argument that positions on the index futures market enjoy greater leverage, which appeals to speculators. In the empirical literature, there is a weak consensus in the case of commodity futures, especially in agricultural commodity ....
Chan, K., Chan, K. C. and Karolyi, G. A. (1991): `Intra-day volatility in the stock index and stock index futures market', Review of Financial Studies 4(4):657--84.
Information Dispersal: A Microstructure Analysis of Stock.. - Daigler, Herbst (Correct)
.... international equity markets on a daily basis, as well as the direction and magnitude of the transmission of these market movements, include Fisher and Palasvirta (1990) Philippatos, Christofi and Christofi (1983) and Hilliard (1979) 3 Thus, while futures price changes lead cash changes, Chan, Chan and Karolyi (1991) and Kawaller, Koch, and Koch (1990) show that the volatility relationship can go in either direction. 2 futures data to show that vo latility i n one currency futures contract is transmitted to other currency futures, although the pattern is very diverse. Studies of the transmission of ....
....these markets. 2 Stock index futures versus cash index volatility provide higher frequency data to examine volatility transmission. Cheung and Ng (1990) use 15 minute quotes for the S P 500 contrac t to find that futures volatility leads cash market volatility in the first 15 minutes of trading. Chan, Chan and Karolyi (1991) use 5 minute prices fo r the S P 500 and MMI contracts and find that vo latility changes in the respective futures (cash) market predict changes in the cash (futures) market i.e. the relationship goes in both directions. Kawaller, Koch, and Koch (1990) calculate 30 minute volatility measures ....
Chan, K., Chan , K.C ., and Ka rolyi, G. A., " Intra day Volatility in the Stock Index and Stock Index Futures Markets. " Review of Financial Studies, Vol. 4 No. 4 (1991), pp. 657-684.
Optimal Hedging under Departures from the Cost-of-Carry.. - Cinca, Lafuente (2003) (Correct)
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Chan K., Chan, K.C. and G.A. Karolyi (1991), Intraday volatility in the stock index and stock index futures markets, Review of Financial Studies 4, 657-684.
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