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The intraday ex post and ex ante profitability of index arbitrage
15 references·12 citing·38 second hop
The intraday ex post and ex ante profitability of index arbitrage (1991)The intraday ex post and ex ante profitab…A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability (1991)A Transactions Data Test of S…Arbitrage in Stock Index Futures (1990)Arbitrage in Stock Index Futu…Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Index-Futures Arbitrage and t…Futures trading and cash market volatility: Stock index and interest rate futures (1988)Futures trading and cash mark…Does Futures Trading Increase Stock Market Volatility? (1988)Does Futures Trading Increase…The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index (1987)The Temporal Price Relationsh…Hedging Performance and Basis Risk in Stock Index Futures (1984)Hedging Performance and Basis…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…A comparison of futures and forward prices (1983)A comparison of futures and f…The relation between forward prices and futures prices (1981)The relation between forward …Forward contracts and futures contracts (1981)Forward contracts and futures…A continuous time equilibrium model of forward prices and futures prices in a multigood economy (1981)A continuous time equilibrium…The pricing of commodity contracts (1976)The pricing of commodity cont…Exchange traded contracts for difference: Design, pricing, and effects (2010)Exchange traded contracts for…Price Expectation and the Pricing of Stock Index Futures (2004)Price Expectation and the Pri…The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship (2002)The effect of the introductio…Pricing efficiency of the S&P 500 index market: Evidence from the Standard & Poor's Depositary Receipts (2002)Pricing efficiency of the S&P…Mean reversion in stock index futures markets: A nonlinear analysis (2002)Mean reversion in stock index…The Lead‐Lag Relation Between Spot and Futures Markets Under Different Short‐Selling Regimes (2001)The Lead‐Lag Relation Between…Index arbitrage with heterogeneous investors: A smooth transition error correction analysis (2001)Index arbitrage with heteroge…Pricing dynamics of index options and index futures in Hong Kong before and during the Asian financial crisis (2000)Pricing dynamics of index opt…Mispricing in Stock Index Futures: A Re‐Examination Using the SPI (1997)Mispricing in Stock Index Fut…Dax index futures: Mispricing and arbitrage in German markets (1995)Dax index futures: Mispricing…Stock index futures arbitrage in Finland: Theory and evidence in a new market (1993)Stock index futures arbitrage…A transactions data analysis of arbitrage between index options and index futures (1993)A transactions data analysis …The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)Temporal relationships and dynamic interactions between spot and futures stock markets (1996)Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico (2004)Stock price clustering on option expiration dates (2005)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Analytic Valuation of American Options (1990)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)The Pricing of Options and Corporate Liabilities (1973)Expectations Models of Asset Prices: A Survey of Theory (1982)Tests of the martingale hypothesis for foreign currency futures with time-varying volatility (1987)Macroeconomic Influences and the Variability of the Commodity Futures Basis (1993)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)A Simple Approach to the Valuation of Risky Streams (1978)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Capital Market Equilibrium with Personal Tax (1983)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? (2018)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)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)Intraday Price Formation in U.S. Equity Index Markets (2003)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)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)Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion? (1994)Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities (2003)
this work references cited by second hop

References

  • 1976The pricing of commodity contracts2,859 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index503 cited
  • 1984Hedging Performance and Basis Risk in Stock Index Futures364 cited
  • 1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices350 cited
  • 1981Forward contracts and futures contracts234 cited
  • 1990Arbitrage in Stock Index Futures225 cited
  • 1981A continuous time equilibrium model of forward prices and futures prices in a multigood economy224 cited
  • 1988Does Futures Trading Increase Stock Market Volatility?211 cited
  • 1983Taxes and the Pricing of Stock Index Futures199 cited
  • 1983The pricing of stock index futures192 cited
  • 1988Futures trading and cash market volatility: Stock index and interest rate futures181 cited
  • 1983The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence174 cited
  • 1983A comparison of futures and forward prices164 cited
  • 1991A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability144 cited

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Cited by

  • 1995Dax index futures: Mispricing and arbitrage in German markets62 cited
  • 2001Index arbitrage with heterogeneous investors: A smooth transition error correction analysis62 cited
  • 2002Mean reversion in stock index futures markets: A nonlinear analysis54 cited
  • 1993A transactions data analysis of arbitrage between index options and index futures42 cited
  • 2000Pricing dynamics of index options and index futures in Hong Kong before and during the Asian financial crisis38 cited
  • 2002The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship38 cited
  • 2001The Lead‐Lag Relation Between Spot and Futures Markets Under Different Short‐Selling Regimes34 cited
  • 2002Pricing efficiency of the S&P 500 index market: Evidence from the Standard & Poor's Depositary Receipts30 cited
  • 1997Mispricing in Stock Index Futures: A Re‐Examination Using the SPI30 cited
  • 2010Exchange traded contracts for difference: Design, pricing, and effects29 cited
  • 2004Price Expectation and the Pricing of Stock Index Futures27 cited
  • 1993Stock index futures arbitrage in Finland: Theory and evidence in a new market27 cited