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Measuring True Stock Index Value in the Presence of Infrequent Trading

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  • Jokivuolle, Esa
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    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 30 (1995)
    Issue (Month): 03 (September)
    Pages: 455-464

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    Handle: RePEc:cup:jfinqa:v:30:y:1995:i:03:p:455-464_00

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    Cited by:
    1. Day, Theodore E. & Wang, Pingying, 2002. "Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 431-454, November.
    2. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
    3. Theissen, Erik, 2009. "Price discovery in spot and futures markets: A reconsideration," CFS Working Paper Series 2009/27, Center for Financial Studies (CFS).
    4. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
    5. Fong, Wai-Ming & Valente, Giorgio & Fung, Joseph K.W., 2010. "Covered interest arbitrage profits: The role of liquidity and credit risk," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1098-1107, May.
    6. Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
    7. Mika Vaihekoski, 2011. "History of financial research and education in Finland," The European Journal of Finance, Taylor & Francis Journals, vol. 17(5-6), pages 339-354.
    8. Vaihekoski, Mika, 2008. "History of finance research and education in Finland: The first thirty years," Research Discussion Papers 18/2008, Bank of Finland.
    9. Kempf, Alexander & Korn, Olaf, 1998. "Trading System and Market Integration," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 220-239, July.
    10. Korkeamäki, Timo & Rainio, Elina & Takalo, Tuomas, 2010. "Law and stock markets: evidence from an emerging market," Research Discussion Papers 1/2010, Bank of Finland.
    11. Ángel Pardo & Francisco Climent, 2000. "Relaciones temporales entre el contrato de futuro sobre IBEX-35 y su activo subyacente," Investigaciones Economicas, Fundación SEPI, vol. 24(1), pages 219-236, January.

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