SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The efficiency of Greek stock index futures market
16 references·2 citing·33 second hop
The efficiency of Greek stock index futures market (2008)The efficiency of Greek stock index futur…A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100 (2001)A trading strategy based on t…Numerical distribution functions of likelihood ratio tests for cointegration (1999)Numerical distribution functi…An examination of the relationship between stock index cash and futures markets: A cointegration approach (1998)An examination of the relatio…Stock Index Futures: Theories and International Evidence. (1994)Stock Index Futures: Theories…Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach (1993)Price dynamics and error corr…Cointegration and error correction models: Intertemporal causality between index and futures prices (1993)Cointegration and error corre…Futures market efficiency: Evidence from cointegration tests (1991)Futures market efficiency: Ev…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Stock returns and inflation (1987)Stock returns and inflationCo-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Understanding futures markets (1985)Understanding futures marketsEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures market’s returns: the case of India (2015)The linkages, persistence, as…Share Price Reaction to Earnings Announcement on the JSE-ALtX: A Test for Market Efficiency (2011)Share Price Reaction to Earni…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries (2007)CO2 emissions, electricity consumption and output in ASEAN (2010)The contribution of foreign direct investment to clean energy use, carbon emissions and economic growth (2013)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Some Recent Developments in Futures Hedging (2002)Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico (2004)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asset returns and inflation (1977)Stock Returns, Real Activity, Inflation, and Money (1981)Economic Significance of Predictable Variations in Stock Index Returns (1989)Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns (1994)The Presidential Puzzle: Political Cycles and the Stock Market (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1999Numerical distribution functions of likelihood ratio tests for cointegration2,028 cited
  • 1987Stock returns and inflation426 cited
  • 1993Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach239 cited
  • 2001A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100202 cited
  • 1993Cointegration and error correction models: Intertemporal causality between index and futures prices179 cited
  • 1991Futures market efficiency: Evidence from cointegration tests175 cited
  • 1998An examination of the relationship between stock index cash and futures markets: A cointegration approach145 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1985Understanding futures markets88 cited
  • 1994Stock Index Futures: Theories and International Evidence.72 cited
  • Cited by

    • 2011Share Price Reaction to Earnings Announcement on the JSE-ALtX: A Test for Market Efficiency25 cited
    • 2015The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures market’s returns: the case of India19 cited