A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Expected stock returns and volatility

1987 • 4,291 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

Constraints on short-selling and asset price adjustment to private information

1987 • 1,865 citations

Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

1990 • 1,080 citations

Dealership market

1980 • 998 citations

A STATISTICAL PARADOX

1957 • 947 citations

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

1989 • 877 citations

The Dynamics of Stock Index and Stock Index Futures Returns

1990 • 839 citations

An econometric analysis of nonsynchronous trading

1990 • 828 citations

A Theory of Trading in Stock Index Futures

1991 • 579 citations

The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index

1987 • 491 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

Intraday Volatility in the Stock Index and Stock Index Futures Markets

1991 • 469 citations

Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets

1990 • 455 citations

Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

1988 • 368 citations

Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

1990 • 252 citations

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

1983 • 183 citations

The October 1987 S&P 500 Stock‐Futures Basis

1989 • 169 citations

Implications of the Discreteness of Observed Stock Prices

1985 • 166 citations

A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability

1991 • 149 citations

Heteroskedasticity in Stock Returns

1990 • 144 citations

Dual Trading in Futures Markets

1992 • 144 citations

The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index

1987 • 101 citations

Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets

1990 • 80 citations

Implications of the Discreteness of Observed Stock Prices

1985 • 52 citations

Stock Index Futures: Does the Tail Wag the Dog?

1987 • 50 citations

The October 1987 S&P 500 Stock-Futures Basis

1989 • 32 citations

New Trading Practices and Short-run Market Efficiency

1990 • 26 citations

Information in the cash market and stock index futures market

1990 • 5 citations