Price Formation and Liquidity Surrounding Large Trades in Interest Rate and Equity Index Futures

SSRN Electronic Journal ◽

10.2139/ssrn.1252782 ◽

2009 ◽

Author(s):

James Richard Cummings ◽

Alex Frino

Keyword(s):

Interest Rate ◽

Price Formation ◽

Index Futures ◽

Equity Index Futures ◽

Equity Index

Download Full-text

Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements

Journal of Business Finance &amp Accounting ◽

10.1111/1468-5957.00219 ◽

1998 ◽

Vol 25 (7&8) ◽

pp. 921-944 ◽

Cited By ~ 11

Author(s):

M. Buckle ◽

O. ap Gwilym ◽

S.H. Thomas ◽

M.S. Woodhams

Keyword(s):

Interest Rate ◽

Futures Markets ◽

Index Futures ◽

Macroeconomic Announcements ◽

Equity Index Futures ◽

Empirical Regularities ◽

Equity Index

Download Full-text

The Transaction-by-Transaction Adjustment of Interest Rate and Equity Index Futures Markets to Macroeconomic Announcements

The Journal of Derivatives ◽

10.3905/jod.6.2.7 ◽

1998 ◽

Vol 6 (2) ◽

pp. 7-17 ◽

Cited By ~ 4

Author(s):

Owain ap Gwilym ◽

Mike Buckle ◽

Andrew D Clare ◽

Stephen H Thomas

Keyword(s):

Interest Rate ◽

Futures Markets ◽

Index Futures ◽

Macroeconomic Announcements ◽

Equity Index Futures ◽

Equity Index

Download Full-text

When Size Matters: The Case of Equity Index Futures

SSRN Electronic Journal ◽

10.2139/ssrn.497502 ◽

2003 ◽

Cited By ~ 2

Author(s):

George H. K. Wang ◽

Aysegul Ates

Keyword(s):

Index Futures ◽

Equity Index Futures ◽

Equity Index

Download Full-text

Examining the forward pricing function of the Australian equity index futures contract

Accounting and Finance ◽

10.1111/j.1467-629x.2004.00101.x ◽

2004 ◽

Vol 44 (1) ◽

pp. 57-73 ◽

Cited By ~ 3

Author(s):

Irena Ivanovic ◽

Peter Howley

Keyword(s):

Index Futures ◽

Futures Contract ◽

Equity Index Futures ◽

Equity Index

Download Full-text

Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. equity index futures markets

Journal of Futures Markets ◽

10.1002/fut.20160 ◽

2005 ◽

Vol 25 (7) ◽

pp. 679-715 ◽

Cited By ~ 58

Author(s):

Aysegul Ates ◽

George H. K. Wang

Keyword(s):

Information Transmission ◽

Futures Markets ◽

Index Futures ◽

Trading Systems ◽

Equity Index Futures ◽

Open Outcry ◽

Equity Index

Download Full-text

Equity index futures trading and stock price crash risk: Evidence from Chinese markets

Journal of Futures Markets ◽

10.1002/fut.21933 ◽

2018 ◽

Vol 38 (11) ◽

pp. 1313-1333 ◽

Cited By ~ 1

Author(s):

Jinyu Liu ◽

Rui Zhong

Keyword(s):

Stock Price ◽

Crash Risk ◽

Futures Trading ◽

Index Futures ◽

Equity Index Futures ◽

Chinese Markets ◽

Equity Index

Download Full-text

Equity Index Futures and Swaps

An Introduction to International Capital Markets ◽

10.1002/9781119207146.ch15 ◽

2012 ◽

pp. 259-276

Keyword(s):

Index Futures ◽

Equity Index Futures ◽

Equity Index

Download Full-text

Effect of Equity Index Futures Trading on Stock Market Volatility: Evidence from China

SSRN Electronic Journal ◽

10.2139/ssrn.2255230 ◽

2012 ◽

Author(s):

Suqin Gu ◽

Xiaowei Gong

Keyword(s):

Stock Market ◽

Market Volatility ◽

Stock Market Volatility ◽

Futures Trading ◽

Index Futures ◽

Equity Index Futures ◽

Equity Index

Download Full-text

Trading Equity Index Futures With a Neural Network

The Journal of Portfolio Management ◽

10.3905/jpm.1992.409432 ◽

1992 ◽

Vol 19 (1) ◽

pp. 27-33 ◽

Cited By ~ 90

Author(s):

Robert R. Trippi ◽

Duane. DeSieno

Keyword(s):

Neural Network ◽

Index Futures ◽

Equity Index Futures ◽

Equity Index

Download Full-text

Equity Index Futures

Derivatives Markets and Analysis ◽

10.1002/9781118695258.ch3 ◽

2017 ◽

pp. 78-120

Keyword(s):

Index Futures ◽

Equity Index Futures ◽

Equity Index

Download Full-text