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• W2048321126 abstract "Journal of Futures MarketsVolume 13, Issue 8 p. 873-887 Article Impacts of shifts in uncertainty on spot and futures price change serial correlation and standardized covariation measures Dean Leistikow, Dean Leistikow Dean Leistikow is an Assistant Professor of Finance at Fordham University.Search for more papers by this author Dean Leistikow, Dean Leistikow Dean Leistikow is an Assistant Professor of Finance at Fordham University.Search for more papers by this author First published: December 1993 https://doi.org/10.1002/fut.3990130805Citations: 2 AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Bibliography Agmon, T., and Amihud, Y. (1981, September): “The Forward Exchange Rate and the Prediction of the Future Spot Rate,” Journal of Banking and Finance, 5: 42S–437. Anderson, R. W., and Danthine, J. P. (1983, April): “The Time Pattern of Hedging and the Volatility of Futures Prices,” Review of Economic Studies, 50: 249–266. Brennan, M. J. (1958, March): “The Supply of Storage,” American Economic Review, 48: 50–71. Capozza, D., and Cornell, B. (1979, November): “Treasury Bill Pricing in the Spot and Futures Market,” Review of Economics and Statistics, 61: 513–520. Dusak, K. (1973, November/December): “Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums,” The Journal of Political Economy, 81: 1387–1406. Ederington, L. H. (1979, March): “The Hedging Performance of the New Futures Markets,” Journal of Finance, 34: 157–170. Frenkel, J. A. (1981, August): “Flexible Exchange Rates, Prices and the Role of News: Lessons from the 1970's,” Journal of Political Economy, 89: 665–705. Grammatikos, T., and Saunders, A. (1983, Fall): “Stability and the Hedging Performance of Foreign Currency Futures,” The Journal of Futures Markets, 3: 295–305. Gray, R. W. (1960, November): “The Characteristic Bias in Some Thin Futures Markets,” Food Research Institute Studies, 1: 296–312. Hill, J., and Schneeweis, T. (1982): “ Risk Reduction Potential of Financial Futures for Corporate Bond Positions,” in Interest Rate Futures, Gay and Kolb (eds.), Richmond, VA: Robert F. Dame, Inc., 307–323. Keynes, J. M. (1930): A Treatise on Money, Vol. 2, New York: Harcourt, pp. 143–144. Larson A. B. (1960, November): “Measurement of a Random Process in Futures Prices,” Food Research Institute Studies, 1: 313–324. Leistikow, D. A. (1989, December): “Announcements and Futures Price Variability,” The Journal of Futures Markets, 9: 477–486. Leistikow, D. A. (1990, August): “The Relative Responsiveness to Information and Variability of Spot and Futures Prices,” The Journal of Futures Markets, 10: 377–396. Leistikow, D. A. (1991): “ Metals Futures Relative-Price-2Variability-Measure Calculations, Comparisons, and the Effect of Excluding Price Limit Observations,” Fordham University, GBA Working Paper No. 1991-4-2. Levich, R. M. (1978): “ Further Results on the Efficiency of Markets for Foreign Exchange,” Federal Reserve Bank of Boston: 58–80. Richard, S. F., and Sundaresan, M. (1981, December): “A Continuous Time Equilibrium Model of Forward Prices and Futures Prices in a Multigood Economy,” Journal of Financial Economics, 9: 347–371. Rzepczynski, M. S. (1987, December): “Risk Premiums in Financial Futures Markets: The Case of Treasury Bond Futures,” The Journal of Futures Markets, 7: 653–662. Samuelson, P. A. (1965, Spring): “Proof that Properly Anticipated Prices Fluctuate Randomly,” Industrial Management Review, 6: 41–50. Samuelson, P. A. (1976, February): “Is Real World Price a Tale Told by the Idiot of Chance?” Review of Economics and Statistics, 58: 120–123. Smidt, S. (1965): “A Test of the Serial Independence of Price Changes in Soybean Futures,” Food Research Institute Studies, 5: 117–136. Stein, J. L. (1961, December): “The Simultaneous Determination of8 Spot and Futures,” American Economic Review, 51: 1012–1025. Stein, J. L. (1979): “ Spot, Forward and Futures,” in Research in Finance, H. Levy, (ed.), Greenwich, CT: JAI Press, 1: 225–310. Stein, J. L. (1981, May): “Speculative Price: Economic Welfare and the Idiot of2 Chance,” The Review of Economics and Statistics, 63: 223–232. Stein, J. L. (1985): “ Market Clearing Futures Prices and Hedging,” Brown University Working Paper Number 85-24. Stevenson, R. A., and Bear, R. M. (1970, March): “Commodity Futures: Trends or Random Walks?” Journal of Finance, 25: 65–81. Citing Literature Volume13, Issue8December 1993Pages 873-887 ReferencesRelatedInformation" @default.
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