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Dax index futures: Mispricing and arbitrage in German markets
16 references·8 citing·37 second hop
Dax index futures: Mispricing and arbitrage in German markets (1995)Dax index futures: Mispricing and arbitra…Electronic Screen Trading and the Transmission of Information: An Empirical Examination (1994)Electronic Screen Trading and…Index Arbitrage Profitability (1993)Index Arbitrage ProfitabilityA Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…The intraday ex post and ex ante profitability of index arbitrage (1991)The intraday ex post and ex a…A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability (1991)A Transactions Data Test of S…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…Stock index futures arbitrage: International evidence (1990)Stock index futures arbitrage…Arbitrage in Stock Index Futures (1990)Arbitrage in Stock Index Futu…The behavior of prices in the Nikkei spot and futures market (1989)The behavior of prices in the…Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Index-Futures Arbitrage and t…Hedging Performance and Basis Risk in Stock Index Futures (1984)Hedging Performance and Basis…Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium (1984)Explaining the Early Discount…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …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…Taxes and the Pricing of Stock Index Futures (1983)Taxes and the Pricing of Stoc…Price discovery in the options markets: An application of put‐call parity (2008)Price discovery in the option…A High‐Frequency Investigation of the Interaction between Volatility and DAX Returns (2008)A High‐Frequency Investigatio…Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures (2007)Basis Convergence and Long Me…Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market (2003)Optimal hedging under departu…A Study of Arbitrage Efficiency Between the FTSE‐100 Index Futures and Options Contracts (2001)A Study of Arbitrage Efficien…Efficiency tests in the Spanish futures markets (1999)Efficiency tests in the Spani…Trading System and Market Integration (1998)Trading System and Market Int…Market Depth and Order Size (1997)Market Depth and Order SizeThe relation between forward prices and futures prices (1981)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)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Predicting Volatility in the Foreign Exchange Market (1995)From value at risk to stress testing: The extreme value approach (2000)Expected stock returns and volatility (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Trading in Stock Index Futures (1991)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns (1983)Cross-Border Investing with Tax Arbitrage: The Case of German Dividend Tax Credits (2001)Cross Hedging (1981)Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach (1993)Bitcoin Futures—What use are they? 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this work references cited by second hop

References

  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 1984Hedging Performance and Basis Risk in Stock Index Futures364 cited
  • 1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices350 cited
  • 1990Arbitrage in Stock Index Futures225 cited
  • 1983Taxes and the Pricing of Stock Index Futures199 cited
  • 1983The pricing of stock index futures192 cited
  • 1983The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence174 cited
  • 1991A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability144 cited
  • 1994Electronic Screen Trading and the Transmission of Information: An Empirical Examination137 cited
  • 1990Stock index futures arbitrage: International evidence115 cited
  • 1989The behavior of prices in the Nikkei spot and futures market92 cited
  • 1993Index Arbitrage Profitability77 cited
  • 1991The intraday ex post and ex ante profitability of index arbitrage

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69 cited
  • 1984Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium68 cited
  • Cited by

    • 2003Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market53 cited
    • 2008Price discovery in the options markets: An application of put‐call parity43 cited
    • 1998Trading System and Market Integration35 cited
    • 1997Market Depth and Order Size34 cited
    • 2008A High‐Frequency Investigation of the Interaction between Volatility and DAX Returns28 cited
    • 2001A Study of Arbitrage Efficiency Between the FTSE‐100 Index Futures and Options Contracts25 cited
    • 2007Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures23 cited
    • 1999Efficiency tests in the Spanish futures markets23 cited