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Premiums on stock index futures‐some evidence · Study

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ArticlePremiums on stock index futures‐some evidence

Nusret Cakici1990

Article1990

Premiums on stock index futures‐some evidence

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

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices 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 1984Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium

Cited by

1993Short sales restrictions and the temporal relationship between stock index cash and derivatives markets 2000Standard and Poor?s depository receipts and the performance of the S&P 500 index futures market 2020Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets 1997Mispricing in Stock Index Futures: A Re‐Examination Using the SPI 1991Pricing stock index futures with stochastic interest rates 2004Price Expectation and the Pricing of Stock Index Futures 1993Stock index futures arbitrage in Finland: Theory and evidence in a new market 2001A Study of Arbitrage Efficiency Between the FTSE‐100 Index Futures and Options Contracts

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1995Dax index futures: Mispricing and arbitrage in German marketsarticle · 5 shared references 1991Pricing stock index futures with stochastic interest ratesarticle · 5 shared references 2004Price Expectation and the Pricing of Stock Index Futuresarticle · 5 shared references 1992Does the S&P 500 futures mispricing series exhibit nonlinear dependence across time?article · 5 shared references 1991A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitabilityarticle · 4 shared references 1991The intraday ex post and ex ante profitability of index arbitragearticle · 4 shared references

Details

Year1990

Typearticle

Published1990-08-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations49

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.3990100405

openalex_workW2050117316

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