Title: Stock index futures arbitrage: International evidence
Abstract: Journal of Futures MarketsVolume 10, Issue 6 p. 573-603 Article Stock index futures arbitrage: International evidence Pradeep K. Yadav, Pradeep K. Yadav Pradeep K. Yadav is a lecturer in finance at the University of Strathclyde, Glasgow, Scotland.Search for more papers by this authorPeter F. Pope, Peter F. Pope Peter F. Pope is Touche Ross Professor at the University of Strathclyde, Glasgow, Scotland.Search for more papers by this author Pradeep K. Yadav, Pradeep K. Yadav Pradeep K. Yadav is a lecturer in finance at the University of Strathclyde, Glasgow, Scotland.Search for more papers by this authorPeter F. Pope, Peter F. Pope Peter F. Pope is Touche Ross Professor at the University of Strathclyde, Glasgow, Scotland.Search for more papers by this author First published: December 1990 https://doi.org/10.1002/fut.3990100603Citations: 93 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 Arditti, F., Ayadin, S., Mattu, R., and Rigskee, S. (1986): “ A Passive Futures Strategy that Outperforms Active Management,” Financial Analysts Journal, 63–66. Beach, C., and Mackinnon, J. 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(1981): “The Relation between Forward Prices and Futures Prices,” Journal of Financial Economics, 9: 321–346 Figlewski, S. (1984): “ Explaining the early discounts on Stock Index Futures: The case for disequilibrium,” Financial Analysis Journal, July. Figlewski, S. (1984): “Hedging performance and basis risk in Stock Index Futures,” Journal of Finance, 39: 657–669 Finnerty, J. E., and Park, H. Y. (1988): “ How to profit from program trading,” Journal of Portfolio Management, 41–46. Garbade, K. D., and Silber, W. L. (1983): “Price movements and Price discovery in Futures and Cash Markets,” The Review of Economics and Statistics, 65: 289–297 Gould, F. J. (1988): “ Stock Index Futures: The Arbitrage Cycle and Portfolio Insurance,” Financial Analysis Journal, July. Hill, J. M., Jain, A., and Wood, R. A. (1988,): Winter “ Insurance: Volatility Risk and Futures Mispricing,” Journal of Portfolio Management, 23–29. Kipnis, G., and Tsang, S. (1984): “ Significance of Errors in Estimating Dividends,” Stock Market Strategist, Donaldson, Lutken, and Jennette. Mackinlay, C., and Ramaswamy, K. (1987): “ Program Trading and the behavior of Stock Index Futures prices,” Centre for the Study of Futures Markets, Working Paper Series CSFM 161. Merrick, J. J. Jr. (1989): “Early Unwindings and Rollovers of Stock Index Futures Arbitrage Programs: Analysis and Implications for Predicting Expiration Day Effects,” Journal of Futures Markets, 9: 101–110 Merrick, J. J. Jr. (1987): “ Hedging with Mispriced Futures,” Centre for the Study of Futures Markets, Working Paper Series CSFM 154. Modest, D. (1984): “ On the pricing of stock index futures,” Journal of Portfolio Management, 51–57. Modest, M., and Sunderashen, M. (1984): “ The relationship between spot and futures in stock index futures: some preliminary evidence,” Journal of Futures Markets, 15–41. Parkinson, M. (1980): “The extreme value method for estimating the variance of the rate of return,” Journal of Business, 53: 61–65 Pope, P. F., Peel, D. A., and Yadav, P. K. (1990,): May “ Volatility of and the Big Bang Factor (Has the Big Bang made stock prices more volatile?),” Professional Investor, 20–22. A. Rubinstein (1987): “ Derivative Assets Analysis,” UCLA Working Paper. Saunders, E. M., and Mahajan, A. (1988): “An Empirical Examination of Composite Stock Index Futures Pricing,” Journal of Futures Markets, 8: 211–228 Stoll, H. R., and Whaley, R. E. (1987,): March “ Program Trading and Expiration day effects,” Financial Analysis Journal, 16–27. Yadav, P. K., and Pope, P. F. (1991): “ Testing Index Futures Market Efficiency Using Price Differences: A Critical Analysis,” Journal of Futures Markets (forthcoming). Citing Literature Volume10, Issue6December 1990Pages 573-603 ReferencesRelatedInformation
Publication Year: 1990
Publication Date: 1990-12-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 120
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