Research Journal of Applied Sciences
Year:
2015
Volume:
10
Issue:
6
Page No.
235 - 240
References
Anderson, J.A. and S. Li, 2007. Calendar spread trading and the efficiency of Australian bank accepted bill futures market. Rev. Pacific Basin Financial Markets Policies, 10: 157-172.
CrossRef | Batten, J.A., C. Ciner, B.M. Lucey and P.G. Szilagyi, 2013. The structure of gold and silver spread returns. Quantitative Finance, 13: 561-570.
CrossRef | Cootner, P.H., 1962. Stock prices: Random vs. systematic changes. Ind. Manage. Rev., 3: 24-45.
Direct Link | Cornell, B., 1981. The relationship between volume and price variability in futures markets. J. Futures Markets, 1: 303-316.
CrossRef | Cuny, C.J., 2006. Why derivatives on derivatives? The case of spread futures. J. Financial Intermediation, 15: 132-159.
CrossRef | Daigler, R.T. and M.K. Wiley, 1999. The impact of trader type on the futures volatility‐volume relation. J. Finance, 54: 2297-2316.
CrossRef | Daigler, R.T., 2007. Spread volume for currency futures. J. Econ. Finance, 31: 12-19.
CrossRef | De Long, J.B., A. Shleifer, L.H. Summers and R.J. Waldmann, 1990. Positive feedback investment strategies and destabilizing rational speculation. J. Finance, 45: 379-395.
CrossRef | Direct Link | Dunis, C.L., J. Laws and B. Evans, 2010. Trading and filtering futures spread portfolios: Further applications of threshold and correlation filters. J. Derivatives Hedge Funds, 15: 274-287.
CrossRef | Frankel, J.A. and K.A. Froot, 1990. Chartists, fundamentalists and trading in the foreign exchange market. Am. Econ. Rev., 80: 181-185.
Gennotte, G. and H. Leland, 1990. Market liquidity, hedging and crashes. Am. Econ. Rev., 80: 999-1021.
Graham, B. and D. Dodd, 1976. Security Analysis. McGraw-Hill, USA., Pages: 739.
Hull, C.J.O., 2009. Futures and other Derivatives. Pearson Education, USA.
Kocagil, A.E. and K. Topyan, 1997. An empirical note on demand for speculation and futures risk premium: A Kalman Filter application. Rev. Financial Econ., 6: 77-93.
CrossRef | Martell, T.F. and A.S. Wolf, 1987. Determinants of trading volume in futures markets. J. Futures Markets, 7: 233-244.
CrossRef | Mittelhammer, R.C., 2013. Mathematical Statistics for Economics and Business. 2nd Edn., Springer, New York, Pages: 755.
Osler, C.L., 2003. Currency orders and exchange rate dynamics: An explanation for the predictive success of technical analysis. J. Finance, 58: 1791-1820.
CrossRef | Ribeiro, D.R. and S.D. Hodges, 2005. A contango‐constrained model for storable commodity prices. J. Futures Markets, 25: 1025-1044.
CrossRef | Sulaiman, H., K. Malec and M. Maitah, 2014. Appropriate tools of marketing information system for citrus crop in the lattakia region, RA SYRIA. AGRIS on-line Papers Econ. Inform., 6: 69-78.
Direct Link | United Nations, 2011. Price Formation in Financialized Commodity Markets: The Role of Information. UN, New York, Geneva.
Working, H., 1949. The theory of price of storage. Am. Econ. Rev., 39: 1254-1262.