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A further look at transaction costs, short sale restrictions, and futures market efficiency: The case of Korean stock index futures
12 references·10 citing·43 second hop
A further look at transaction costs, short sale restrictions, and futures market efficiency: The case of Korean stock index futures (1999)A further look at transaction costs, shor…General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence (1991)General Equilibrium Stock Ind…Stock index futures arbitrage: International evidence (1990)Stock index futures arbitrage…Arbitrage in Stock Index Futures (1990)Arbitrage in Stock Index Futu…Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Index-Futures Arbitrage and t…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium (1984)Explaining the Early Discount…The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence (1983)The relationship between spot…The pricing of stock index futures (1983)The pricing of stock index fu…A comparison of futures and forward prices (1983)A comparison of futures and f…The relation between forward prices and futures prices (1981)The relation between forward …Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables (1978)Testing Against General Autor…Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)Testing for Serial Correlatio…Investor Sentiment, Unexpected Inflation, and Bitcoin Basis Risk (2024)Investor Sentiment, Unexpecte…Short selling restrictions and index futures pricing: Evidence from China (2019)Short selling restrictions an…Financial Indices, Joint Ventures and Strategic Alliances Invalidate Cumulative Prospect Theory, Third-Generation Prospect Theory, Related Approaches and Intertemporal Asset Pricing Theory: HCI and Three New Decision Models (2018)Financial Indices, Joint Vent…Market uncertainty, expected volatility and the mispricing of S&P 500 index futures (2015)Market uncertainty, expected …Derivative markets in emerging economies: A survey (2015)Derivative markets in emergin…Common deviation and regime-dependent dynamics in the index derivatives markets (2015)Common deviation and regime-d…Index arbitrage and the pricing relationship between Australian stock index futures and their underlying shares (2010)Index arbitrage and the prici…Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited (2009)Persistent mispricing in a re…Price Expectation and the Pricing of Stock Index Futures (2004)Price Expectation and the Pri…Short sales restrictions, dilution and the pricing of rights issues on the Singapore Stock Exchange (2002)Short sales restrictions, dil…An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Evaluating Natural Resource Investments (1985)Theory of Financial Decision Making. (1988)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Hedging Performance and Basis Risk in Stock Index Futures (1984)Options Arbitrage in Imperfect Markets (1989)Equilibrium Mispricing in a Capital Market with Portfolio Constraints (2000)Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis (2007)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)Price Movements and Price Discovery in Futures and Cash Markets (1983)Stock index futures mispricing: profit opportunities or risk premia? (1994)Mispricing of index futures contracts and short sales constraints (1999)Intraday Price Discovery in the DJIA Index Markets (2006)Forward contracts and futures contracts (1981)Capital Market Equilibrium with Personal Tax (1983)Investigation of a lead‐lag relationship between spot stock indices and their futures contracts (1987)A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability (1991)The pricing of commodity contracts (1976)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)The present value model of rational commodity pricing (1991)Is normal backwardation normal? (1992)The Golden Dilemma (2013)The Pricing of Options and Corporate Liabilities (1973)An Investigation of Transactions Data for NYSE Stocks (1985)The Dynamics of Stock Index and Stock Index Futures Returns (1990)Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements (1996)Common factors in prices, order flows, and liquidity (2001)An Econometric Analysis of Nonsynchronous Trading (1989)Daily and Intradaily Tests of European Put-Call Parity (1995)Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash (1996)Are Forecasting Models Usable for Policy Analysis? (1986)Media Reputation as a Strategic Resource: An Integration of Mass Communication and Resource-Based Theories (2000)Social Change and Crime Rate Trends: A Routine Activity Approach (1979) (2010)Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables (1978)Review of international tourism demand models (1997)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,836 cited
  • 1978Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables1,468 cited
  • 1970Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables1,184 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices350 cited
  • 1990Arbitrage in Stock Index Futures225 cited
  • 1983The pricing of stock index futures192 cited
  • 1983The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence174 cited
  • 1983A comparison of futures and forward prices164 cited
  • 1990Stock index futures arbitrage: International evidence115 cited
  • 1984Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium68 cited
  • 1991General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence65 cited

Cited by

  • 2015Common deviation and regime-dependent dynamics in the index derivatives markets35 cited
  • 2015Derivative markets in emerging economies: A survey29 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2015Market uncertainty, expected volatility and the mispricing of S&P 500 index futures27 cited
  • 2004Price Expectation and the Pricing of Stock Index Futures27 cited
  • 2002Short sales restrictions, dilution and the pricing of rights issues on the Singapore Stock Exchange26 cited
  • 2010Index arbitrage and the pricing relationship between Australian stock index futures and their underlying shares22 cited
  • 2009Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited18 cited
  • 2019Short selling restrictions and index futures pricing: Evidence from China16 cited
  • 2024Investor Sentiment, Unexpected Inflation, and Bitcoin Basis Risk15 cited
  • 2018Financial Indices, Joint Ventures and Strategic Alliances Invalidate Cumulative Prospect Theory, Third-Generation Prospect Theory, Related Approaches and Intertemporal Asset Pricing Theory: HCI and Three New Decision Models2 cited