The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE
No === This study investigates the impact of LIFFE's introduction of individual equity futures contracts on the risk characteristics of the underlying stocks trading on the LSE. We employ the Fama and French three-factor model (TFM) to measure the change in the systematic risk of the underlying...
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| Language: | en |
| Published: |
2009
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10454/4153 |