The pricing of stock index futures spreads at contract expiration

Alex Frino; Michael D. McKenzie

doi:10.1002/fut.10013

The pricing of stock index futures spreads at contract expiration

Journal of Futures Markets ◽

10.1002/fut.10013 ◽

2002 ◽

Vol 22 (5) ◽

pp. 451-469 ◽

Cited By ~ 24

Author(s):

Alex Frino ◽

Michael D. McKenzie

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Contract Expiration

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Stock Index Futures Trading and Volatility in International Equity Markets

CFA Digest ◽

10.2469/dig.v31.n1.832 ◽

2001 ◽

Vol 31 (1) ◽

pp. 71-72

Author(s):

William H. Sackley

Keyword(s):

Equity Markets ◽

Stock Index ◽

Stock Index Futures ◽

Futures Trading ◽

Index Futures ◽

International Equity Markets ◽

International Equity

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Volatility and Trading Demands in Stock Index Futures

CFA Digest ◽

10.2469/dig.v33.n3.1742 ◽

2003 ◽

Vol 33 (3) ◽

pp. 101-102

Author(s):

Frank T. Magiera

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures

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Index Arbitrage and the Pricing Relationship between Australian Stock Index Futures and Their Underlying Shares

SSRN Electronic Journal ◽

10.2139/ssrn.1252643 ◽

2008 ◽

Cited By ~ 1

Author(s):

James Richard Cummings ◽

Alex Frino

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Index Arbitrage

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Long Memory and Periodicity in Intraday Volatility of Stock Index Futures

SSRN Electronic Journal ◽

10.2139/ssrn.1460625 ◽

2009 ◽

Cited By ~ 1

Author(s):

Eduardo Rossi ◽

Dean Fantazzini

Keyword(s):

Long Memory ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Intraday Volatility

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Manipulation Prevention and Hedging Effectiveness: Optimal Settlement Window Design for CSI 300 Stock Index Futures

SSRN Electronic Journal ◽

10.2139/ssrn.2223590 ◽

2013 ◽

Author(s):

Rui Luo ◽

Jun Song

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Hedging Effectiveness ◽

Window Design

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Stock Index Futures Trading and Spot Market Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.890261 ◽

2006 ◽

Author(s):

George Karathanassis ◽

Vasilios I. Sogiakas

Keyword(s):

Spot Market ◽

Market Volatility ◽

Stock Index ◽

Stock Index Futures ◽

Futures Trading ◽

Index Futures

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Identifying the role of consumer and producer price index announcements in stock index futures price changes

Economic Analysis and Policy ◽

10.1016/j.eap.2021.07.009 ◽

2021 ◽

Author(s):

Guofang Liu ◽

Xi Fang ◽

Yuan Huang ◽

Weidong Zhao

Keyword(s):

Price Index ◽

Stock Index ◽

Stock Index Futures ◽

Price Changes ◽

Producer Price ◽

Producer Price Index ◽

Index Futures ◽

Futures Price

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An Empirical Study on the Linkage between Shanghai and Shenzhen Stock Index Futures and Spot Prices

Proceedings of the 2020 2nd International Conference on Big Data and Artificial Intelligence ◽

10.1145/3436286.3436401 ◽

2020 ◽

Author(s):

YuanKun Xue ◽

Ubaldo Comite

Keyword(s):

Empirical Study ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Spot Prices

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Information Transmission between China’s IH and SGX FTSE A50 Stock Index Futures Markets: The Role of Trading Restrictions

Emerging Markets Finance and Trade ◽

10.1080/1540496x.2021.1917360 ◽

2021 ◽

pp. 1-12

Author(s):

Tian Wen ◽

Ping Li ◽

Yunbi an

Keyword(s):

Information Transmission ◽

Futures Markets ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Trading Restrictions

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Stock index futures arbitrage in emerging markets: Polish evidence

International Review of Financial Analysis ◽

10.1016/j.irfa.2006.10.004 ◽

2008 ◽

Vol 17 (2) ◽

pp. 363-381 ◽

Cited By ~ 14

Author(s):

Jędrzej Białkowski ◽

Jacek Jakubowski

Keyword(s):

Emerging Markets ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures

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