Department of Finance, Arizona State University, and Department of Finance, University of Michigan, respectively. We thank Michael Barclay, Tony Greig, Gregg Jarrell, Jon Karpoff, Ann Kremer, Barry Schachter, G. William Schwert, Journal of Finance editor René Stulz, an anonymous Journal of Finance referee, and seminar participants at Rochester, Michigan, Arizona, Arizona State, the Commodity Futures Trading Commission, and the 1990 Western Finance Association Meetings for valuable comments. Earlier drafts of this paper were titled “Futures trading, liquidity, and stock price volatility.” Seguin acknowledges funding from the T. Boone Pickens, Jr. research fellowship at the Managerial Economics Research Center.
Futures-Trading Activity and Stock Price Volatility
Version of Record online: 30 APR 2012
© 1992 the American Finance Association
The Journal of Finance
Volume 47, Issue 5, pages 2015–2034, December 1992
How to Cite
BESSEMBINDER, H. and SEGUIN, P. J. (1992), Futures-Trading Activity and Stock Price Volatility. The Journal of Finance, 47: 2015–2034. doi: 10.1111/j.1540-6261.1992.tb04695.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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