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A Study of Arbitrage Efficiency Between the FTSE‐100 Index Futures and Options Contracts
16 references·1 citing·40 second hop
A Study of Arbitrage Efficiency Between the FTSE‐100 Index Futures and Options Contracts (2001)A Study of Arbitrage Efficiency Between t…Mispricing of index futures contracts and short sales constraints (1999)Mispricing of index futures c…Extreme price clustering in the London equity index futures and options markets (1998)Extreme price clustering in t…Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)Trading costs and the relativ…Dax index futures: Mispricing and arbitrage in German markets (1995)Dax index futures: Mispricing…Stock Index Futures: Theories and International Evidence. (1994)Stock Index Futures: Theories…Stock index futures mispricing: profit opportunities or risk premia? (1994)Stock index futures mispricin…Arbitrage and price behavior of the Nikkei stock index futures (1992)Arbitrage and price behavior …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…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…Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium (1984)Explaining the Early Discount…The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence (1983)The relationship between spot…The pricing of commodity contracts (1976)The pricing of commodity cont…Cross‐market efficiency in the Indian derivatives market: A test of put–call parity (2008)Cross‐market efficiency in th…The Pricing of Options and Corporate Liabilities (1973)Expected stock returns and volatility (1987)The Dynamics of Stock Index and Stock Index Futures Returns (1990)Price discovery in the German equity index derivatives markets (1999)Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks (2003)Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models (2008)The relation between forward prices and futures prices (1981)Hedging Performance and Basis Risk in Stock Index Futures (1984)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)The journal of financial economics (1993)The Lead‐Lag Relation Between Spot and Futures Markets Under Different Short‐Selling Regimes (2001)Discretionary government intervention and the mispricing of index futures (2003)The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash (2007)The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)Price Movements and Price Discovery in Futures and Cash Markets (1983)Intraday Price Discovery in the DJIA Index Markets (2006)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)Stock Price Clustering and Discreteness (1991)Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes? (1994)Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Culture and stock price clustering: Evidence from The Peoples' Republic of China (2007)Assessing price clustering in European Carbon Markets (2011)Do Superstitious Traders Lose Money? (2017)Trading costs for listed options (1980)Hedging with the Nikkei index futures: The convential model versus the error correction model (1996)Intraday return dynamics between the cash and the futures markets in Japan (1996)Daily and Intradaily Tests of European Put-Call Parity (1995)Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash (1996)Economic news and equity market linkages between the U.S. and U.K. (1995)Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts (2000)Handbook of Financial Engineering (2008)Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach (1993)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)
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References

  • 1976The pricing of commodity contracts2,859 cited
  • 1996Trading costs and the relative rates of price discovery in stock, futures, and option markets424 cited
  • 1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices350 cited
  • 1990Arbitrage in Stock Index Futures225 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
  • 1990Stock index futures arbitrage: International evidence115 cited
  • 1989The behavior of prices in the Nikkei spot and futures market92 cited
  • 1999Mispricing of index futures contracts and short sales constraints87 cited
  • 1998Extreme price clustering in the London equity index futures and options markets87 cited
  • 1994Stock index futures mispricing: profit opportunities or risk premia?86 cited
  • 1994Stock Index Futures: Theories and International Evidence.72 cited
  • 1991The intraday ex post and ex ante profitability of index arbitrage69 cited
  • 1984Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium68 cited
  • 1995Dax index futures: Mispricing and arbitrage in German markets

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62 cited
  • 1992Arbitrage and price behavior of the Nikkei stock index futures55 cited
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    • 2008Cross‐market efficiency in the Indian derivatives market: A test of put–call parity21 cited