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publications

(47)   

• Share price volatility with the introduction of individual share futures on the Sydney Futures Exchange
  Steven A. Dennis and Ah Boon Sim International Review of Financial Analysis8(2):153--163Jun1999.
  to futures Share by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Using high, low, open, and closing prices to estimate the effects of cash settlement on futures prices
  Leo Chan and Donald Lien International Review of Financial Analysis12(1):35--47(2003)
  to contract Feeder futures cattle by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Price limits in futures markets: effects on the price discovery process and volatility
  Yulia V. Veld-Merkoulova International Review of Financial Analysis12(3):311--328002003.
  to markets Futures by smicha on Apr 29, 2008, 8:06 AM
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• Futures trading volume as a determinant of prices in different momentum phases
  Allan Hodgson and A. Mansur M. Masih and Rumi Masih International Review of Financial Analysis15(1):68--85(2006)
  to trading Futures volume by smicha on Apr 29, 2008, 8:06 AM
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• Are options redundant?: Further evidence from currency futures markets
  Leo Chan and Donald Lien International Review of Financial Analysis15(2):179--188(2006)
  to Currency options futures by smicha on Apr 29, 2008, 8:06 AM
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• The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE
  Khelifa Mazouz and Michael Bowe International Review of Financial Analysis15(1):1--20(2006)
  to Individual equity futures by smicha on Apr 29, 2008, 8:06 AM
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• Statistical properties of post-sample hedging effectiveness
  Donald Lien International Review of Financial Analysis16(3):293--300(2007)
  to markets Futures by smicha on Apr 29, 2008, 8:06 AM
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• Stock futures: the effects of their trading on the underlying stocks in Australia
  Chun I. Lee and Hung Cheong Tong Journal of Multinational Financial Management8(2-3):285--301Sep1998.
  to Stock futures by smicha on Apr 29, 2008, 8:06 AM
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• Hedging with foreign currency denominated stock index futures: evidence from the MSCI Taiwan index futures market
  Changyun Wang and Soon Sern Low Journal of Multinational Financial Management13(1):1--17Feb2003.
  to index Stock futures by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Cross-hedging with futures and options: The effects of disappointment aversion
  Donald Lien and Yan Wang Journal of Multinational Financial Management16(1):16--26Feb2006.
  to options Futures and by smicha on Apr 29, 2008, 8:06 AM
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• Market closure effects on return, volatility, and turnover patterns in the Hong Kong index futures market
  Richard Yan-ki Ho and Raymond Siu-kuen Lee Journal of International Financial Markets, Institutions and Money8(3-4):433--451Dec1998.
  to futures Index by smicha on Apr 29, 2008, 8:06 AM
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• The dynamic relationship of volatility, volume, and market depth in currency futures markets
  Hung-Gay Fung and Gary A. Patterson Journal of International Financial Markets, Institutions and Money9(1):33--59Jan1999.
  to Currency futures by smicha on Apr 29, 2008, 8:06 AM
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• Limiting differences between forward and futures prices in a Lucas consumption model
  Zvi Wiener and Simon Benninga and Aris Protopapadakis Journal of International Financial Markets, Institutions and Money10(2):151--161Jun2000.
  to Futures by smicha on Apr 29, 2008, 8:06 AM
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• Overnight futures trading: now even Australia and US have common trading hours
  Kingsley Fong and Martin Martens Journal of International Financial Markets, Institutions and Money12(2):167--182Apr2002.
  to trading futures Overnight by smicha on Apr 29, 2008, 8:06 AM
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• Cross-market linkages between U.S. and Japanese precious metals futures trading
  Xiaoqing Eleanor Xu and Hung-Gay Fung Journal of International Financial Markets, Institutions and Money15(2):107--124Apr2005.
  to metals Precious futures by smicha on Apr 29, 2008, 8:06 AM
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• The innovations of e-mini contracts and futures price volatility components: The empirical investigation of S\&P 500 stock index futures
  Anthony H. Tu and Ming-Chun Wang Journal of International Financial Markets, Institutions and Money17(2):198--211Apr2007.
  to futures index Stock by smicha on Apr 29, 2008, 8:06 AM
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• Currency futures-spot basis and risk premium
  Ahmet Can Inci and Biao Lu Journal of International Financial Markets, Institutions and Money17(2):180--197Apr2007.
  to Currency futures by smicha on Apr 29, 2008, 8:06 AM
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• Price dynamics in refined petroleum spot and futures markets
  Victor K. Ng and Stephen Craig Pirrong Journal of Empirical Finance2(4):359--388Feb1996.
  to price Futures by smicha on Apr 23, 2008, 10:05 PM
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• Optimal bidding and hedging in international markets
  Donald Lien and Kit Pong Wong Journal of International Money and Finance23(5):785--798Sep2004.
  to futures Currency by smicha on Apr 23, 2008, 10:05 PM
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• Trading volume and contract rollover in futures contracts
  Phil Holmes and Jonathan Rougier Journal of Empirical Finance12(2):317--338Mar2005.
  to Financial futures by smicha on Apr 23, 2008, 10:05 PM
  URL | BibTeX