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Arbitrage in Stock Index Futures

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References

1981The relation between forward prices and futures prices740 cited
1984Hedging Performance and Basis Risk in Stock Index Futures364 cited
1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices350 cited

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2007Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis191 cited
1989Options Arbitrage in Imperfect Markets177 cited
2000Equilibrium Mispricing in a Capital Market with Portfolio Constraints162 cited
1996Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash150 cited
1994Information and Index Arbitrage146 cited
1991A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability144 cited
1992Arbitrage With Holding Costs: A Utility-Based Approach107 cited
2011Price discovery in spot and futures markets: a reconsideration89 cited
1995Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts88 cited
1999Mispricing of index futures contracts and short sales constraints87 cited
1994Stock index futures mispricing: profit opportunities or risk premia?86 cited
1997Hedging efficiency: A futures exchange management approach

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85 cited

1996Direct Tests of Index Arbitrage Models85 cited

2006Dynamic Portfolio Selection in Arbitrage85 cited

1990Intraday relationships between volatility in S&P 500 futures prices and volatility in the S&P 500 index71 cited

1991The intraday ex post and ex ante profitability of index arbitrage69 cited