Article1994

Stock Index Futures: Theories and International Evidence.

Joan C. Junkus · Charles M. S. Sutcliffe

72 citations0/0 files storedThe Journal of Finance

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

Abstract

Stock market indices introduction to futures trading futures exchanges arbitrage and the valuation of stock index futures arbitrage and relaxing the assumptions behaviour of the prices of stock index futures returns and the risk premium maturity, price volatility and volume market efficiency hedging the potential uses of stock index futures by fund managers the design and regulation of futures contracts future topics in index futures.

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2003Over-the-counter forward contracts and spot price volatility in shipping 2002Does derivatives trading destabilize the underlying assets? Evidence from the Spanish stock market 2011Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX 2004Hedge ratios in Greek stock index futures market 1997Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?2004The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange 1999The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994 2008The efficiency of Greek stock index futures market

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