RDP 8804: Pricing Behaviour in Australian Financial Futures Markets References
June 1988
- Download the Paper 943KB
Attanasio, O.P. and M.L. Edey, “Time-Varying Volatility and Foreign Exchange Risk: An Empirical Study”, London School of Economics, Centre for Labour Economics Discussion Paper, 1986.
Bera, A.K. and C.M. Jarque, “An Efficient Large Sample Test for Normality of Observations and Regression Residuals”, Australian National University Working Papers in Economics and Econometrics No.040, 1981.
Bilson, J.F.O., “The Speculative Efficiency Hypothesis”, Journal of Business, 1981, 435–452.
Blanchard, O.J., “Speculative Bubbles, Crashes and Rational Expectations”, Economics Letters, 1979, No. 3, 387–389.
Bowers, C.J. and G. Twite, “Arbitrage Opportunities in the Australian Share Price Index Futures Contract”, Australian Journal of Management, December 1985, 1–29.
Cornell, B. and K.R. French, “The Pricing of Stock Index Futures”, Journal of Futures Markets, Vol. 3, No. 1, 1983, 1–14.
D'Agostino, R.B. and Pearson, E.S. “Tests For Departure From Normality. Empirical Results for the Distributions of b2 and √b1”, Biometrica, 1973, No. 60, 613–622.
Domowitz, I. and C.S. Hakkio, “Conditional Variance and the Risk Premium in the Foreign Exchange Market”, Journal of International Economics, 1985, 47–66.
Elton, E.J., M.J. Gruber, and J. Rentzler, “Intraday Tests of Efficiency of the Treasury Bill Futures Market”, Review of Economics and Statistics, February, 1984.
Engle, R.F., “Autoregressive Conditional Heteroskedasticity, with Estimates of the Variance of U.K. Inflation”, Econometrica, 1982, 50:987–1008.
Friedman, M., “The Case for Flexible Exchange Rates”, in Friedman, Essays in Positive Economics, University of Chicago Press, 1953.
Froewiss, K.C., “GNMA Futures: Stabilising or Destabilising?”, Federal Reserve Bank of San Francisco, Economic Review, Spring 1978, 20–29.
Giovannini, A. and P. Jorian, “Interest Rates and Risk Premia in the Stock Market and in the Foreign Exchange Market”, Journal of International Money and Finance, 1987.
Granger, C.W.J., “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica, 1969, 37:424–438.
Green, E.J., “Financial Futures and Price-Level Variability” in Financial Futures and Options in the U.S. Economy, Edited by M.L. Kwast, Federal Reserve Board, 1986.
Hart, O.D., “On the Profitability of Speculation”, Quarterly Journal of Economics, 1977, 579–597.
Hart, O.D. and D.M. Kreps, “Price Destabilising Speculation”, Journal of Political Economy, 1987.
Juttner, D.J., R. Tuckwell, and B.P. Luedecke, “Are Expectations of Short-Term Interest Rates Rational”, Australian Economic Papers, December 1985, 356–369.
Kearney, C, R. MacDonald, and J. Hillier, “The Efficiency of the Market for Bank-Accepted Bills”, presented to Conference on “Australian Monetary Policy Post Campbell”, University of Melbourne, August 1987.
Kawaller, I.G., P.D. Koch and T.W. Koch, “The Temporal Relationship between SP500 Futures and the SP500 Index”, Journal of Finance, 1987, 1309–1329.
Kobl, R.W., G.D. Gay, and J.V. Jordan, “Are there Abritrage Opportunities in Treasury-Bond Futures Markets”, Journal of Futures Markets, Vol. 2, No. 3, 217–229, 1982.
Miller, M.H., “Financial Innovation: The Last Twenty Years and the Next”, Journal of Financial and Quantitative Analysis, December 1986, 459–471.
Newbery, D.M., “When Do Futures Destabilise Spot Prices”, International Economic Review, June 1987, 291–297.
Powers, M.J., “Does Futures Trading Reduce Price Fluctuations in the Cash Markets”, American Economic Review, June 1960, 460–464.
Rendleman, R.J. and C.E. Carabini, “The Efficiency of the Treasury Bill Futures Market”, Journal of Finance, September 1979.
Resnick, B.G. and E. Hennigar, “The Relationship Between Futures and Cash Prices for U.S. Treasury Bonds”, Review of Research in Futures Markets, 1983.
Rutledge, D.J.S., “Trading Volume and Price Variability: New Evidence on the Price Effects of Speculation”, in GDSS, B.A. (ed). Futures Markets: Their Establishment and Performance, 1986.
Sharpe, I., “New Information from New Markets: Futures”, in Innovation in the Australian Financial System, Weston (ed), 1984.
Shiller, R.J., “Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends”, American Economic Review, 1981, 421–436.
Shiller, R.J., “Stock Prices and Social Dynamics”, Brookings Papers on Economic Activity, 1984 (2).
Simpson, G.W. and T.C. Ireland, “The Effect of Futures Trading on the Price Volatility of GNMA Securities”, Journal of Futures Markets, 1982, 357–366.
Simpson, G.W. and T.C. Ireland, “The Impact of Financial Futures on the Cash Market for Treasury Bills”, Journal of Financial and Quantitative Analysis, 1985, 371–379.
Telser, L.G., “Futures and Actual Markets: How They are Related”, Journal of Business, 1986, S5–S20.
Tobin, J., “A Proposal for International Monetary Reform”, in Tobin, Essay in Economics, Vol. 3, 1982.
Weller, P. and M. Yano, “Forward Exchange, Futures Trading, and Spot Price Variability: A General Equilibrium Approach”, Econometrica, 1987, 1433–1450.
Williams, J., “Futures Markets: A Consequence of Risk Aversion or Transactions Costs?”, Journal of Political Economy 1987, 1000–1023.
Working, H., “The Theory of Price of Storage”, American Economic Review, 1949, 1254–1262.
White, H. and MacDonald, G.M., “Some Large Sample Tests for in the Linear Regression Modal”, Journal of the American Statistical Association, 1980, Vol. 75, No. 369, 16–28.