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Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,276 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
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  • n.d.A model of investor sentiment /4,073 cited
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  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
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  • 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates1,261 cited
  • 2001Cointegration and Threshold Adjustment1,170 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited

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  • 1991Intraday Volatility in the Stock Index and Stock Index Futures Markets440 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates380 cited
  • 2005Professional trader discipline and trade disposition374 cited
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