Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

1969 • 21,257 citations

On the Impossibility of Informationally Efficient Markets

1980 • 4,825 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

1976 • 967 citations

Price Movements and Price Discovery in Futures and Cash Markets

1983 • 627 citations

Radio Spectrum Allocation: Role of the Market

2016 • 618 citations

Hedging Performance and Basis Risk in Stock Index Futures

1984 • 339 citations

Futures Price Variability: A Test of Maturity and Volume Effects

1986 • 199 citations

The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence

1983 • 183 citations

Taxes and the Pricing of Stock Index Futures

1983 • 180 citations

The Efficiency of the Treasury Bill Futures Market

1979 • 136 citations

The relationship between volume and price variability in futures markets

1981 • 130 citations

A FURTHER EXAMINATION OF STOCK PRICE CHANGES AND TRANSACTION VOLUME

1985 • 113 citations

The Trading Decision and Market Clearing under Transaction Price Uncertainty

1985 • 77 citations

Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market

1984 • 72 citations

Treasury Bill Pricing in the Spot and Futures Markets

1979 • 70 citations

An empirical analysis of arbitrage opportunities in the treasury bill futures market

1985 • 18 citations