Stock Index Futures and Index Arbitrage in a Rational Expectations Model

Anne Fremault

doi:10.1086/296550

Stock Index Futures and Index Arbitrage in a Rational Expectations Model

The Journal of Business ◽

10.1086/296550 ◽

1991 ◽

Vol 64 (4) ◽

pp. 523 ◽

Cited By ~ 27

Author(s):

Anne Fremault

Keyword(s):

Rational Expectations ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Index Arbitrage

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Stock index futures and index arbitrage in a rational expectations model

Insurance Mathematics and Economics ◽

10.1016/0167-6687(93)91041-r ◽

1993 ◽

Vol 12 (1) ◽

pp. 76-77

Author(s):

A. Fremault

Keyword(s):

Rational Expectations ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Index Arbitrage

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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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A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability

The Journal of Finance ◽

10.1111/j.1540-6261.1991.tb04644.x ◽

1991 ◽

Vol 46 (5) ◽

pp. 1791-1809 ◽

Cited By ~ 69

Author(s):

Y. PETER CHUNG

Keyword(s):

Market Efficiency ◽

Futures Market ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Index Arbitrage

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Index arbitrage and the pricing relationship between Australian stock index futures and their underlying shares

Accounting and Finance ◽

10.1111/j.1467-629x.2010.00365.x ◽

2010 ◽

Vol 51 (3) ◽

pp. 661-683 ◽

Cited By ~ 14

Author(s):

James Richard Cummings ◽

Alex Frino

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Index Arbitrage

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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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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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