Direct Tests of Index Arbitrage Models
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 31 (1996)
Issue (Month): 04 (December)
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- Taylor, Nicholas, 2004. "Trading intensity, volatility, and arbitrage activity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1137-1162, May.
- Joseph K.W. Fung & Philip Yu, 2007. "Order Imbalance and the Dynamics of Index and Futures Prices," Working Papers 072007, Hong Kong Institute for Monetary Research.
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- TUSHAJ Arjin & SINAJ Valentina, 2012. "A Decomposition Of Stock Index Futures Mispricing And The Price Effect Of Index Arbitrage," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(2), pages 184-196, August.
- Joseph K.W. Fung, 2006. "Order Imbalance and the Pricing of Index Futures," Working Papers 132006, Hong Kong Institute for Monetary Research.
- Tse, Yiuman, 2001. "Index arbitrage with heterogeneous investors: A smooth transition error correction analysis," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1829-1855, October.
- Gresse, Carole & Deville, Laurent & De Séverac, Béatrice, 2012. "Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index," Economics Papers from University Paris Dauphine 123456789/7689, Paris Dauphine University.
- Henker, Thomas & Martens, Martin, 2005. "Index futures arbitrage before and after the introduction of sixteenths on the NYSE," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 353-373, June.
- Bialkowski, Jedrzej & Jakubowski, Jacek, 2008. "Stock index futures arbitrage in emerging markets: Polish evidence," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 363-381.
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