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03900971902001301010920004501023\x1e0960117\x1e000000s                            eng 
d\x1e  \x1fa332.4\x1e  \x1faCohen, Benjamin H.\x1e 0\x1faDerivatives and asset price volatility: a
 test using variance ratios/\x1fcBenjamin H. Cohen\x1e  \x1fabasle, switzerland; bis; jan
. 1996; 23p; (bis working papers; no. 33); issn 1020-0959;, \x1fc1996\x1e  \x1faEfd; bibl
; sd; donation from publisher;\x1e  \x1faThis paper attempts to assess the presence an
d relative importance of the hypothetical effects of organised derivatives marke
ts on cash markets - i.e. the presence of derivatives markets can at times cause
 sharp price movements in cash markets that are unrelated to price discovery, de
rivatives markets add volatility to cash markets, and new information is incorpo
rated more quickly by derivatives markets than by cash markets. yields on long- 
term government bonds in the us, germany and japan, and equity price indices in 
the us and germany are used to test the above hypotheses.\x1e  \x1faFinancial markets\x1e
  \x1faEconomic theory\x1e  \x1faFinancial economics\x1e  \x1faBank for International Settlemen
ts\x1e  \x1fa19960117\x1e  \x1fhP 332.4 Co\x1ft1\x1fjAvailable for Circulation\x1e\x1d