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ArticleStock index futures arbitrage: International evidence

Pradeep K. Yadav1990

Article1990

Stock index futures arbitrage: International evidence

Pradeep K. Yadav · Peter F. Pope

115 citations·0/0 files stored·Journal of Futures Markets

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1980The Extreme Value Method for Estimating the Variance of the Rate of Return 1981The relation between forward prices and futures prices 1983Price Movements and Price Discovery in Futures and Cash Markets 1984Hedging Performance and Basis Risk in Stock Index Futures 1987Program Trading and Expiration-Day Effects 1983Taxes and the Pricing of Stock Index Futures 1983The pricing of stock index futures 1983The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence

Cited by

2006Intraday Price Discovery in the DJIA Index Markets 1999Mispricing of index futures contracts and short sales constraints 1994Stock index futures mispricing: profit opportunities or risk premia?1996Direct Tests of Index Arbitrage Models 1992Intraweek and intraday seasonalities in stock market risk premia: Cash and futures 1995Dax index futures: Mispricing and arbitrage in German markets

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1992Does the S&P 500 futures mispricing series exhibit nonlinear dependence across time?article · 8 shared references 1994Stock index futures mispricing: profit opportunities or risk premia?article · 7 shared references 2010Index arbitrage and the pricing relationship between Australian stock index futures and their underlying sharesother · 6 shared references 1991The intraday ex post and ex ante profitability of index arbitragearticle · 5 shared references 2004Price Expectation and the Pricing of Stock Index Futuresarticle · 5 shared references 1991A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitabilityarticle · 4 shared references

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Year1990

Typearticle

Published1990-12-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations115

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.3990100603

openalex_workW2033216376

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1997Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?

1999A further look at transaction costs, short sale restrictions, and futures market efficiency: The case of Korean stock index futures