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Unified Tests of Causality and Cost of Carry: The Pricing of the French Stock Index Futures Contract

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  • Green, Christopher J
  • Joujon, Emmanuel

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  • Green, Christopher J & Joujon, Emmanuel, 2000. "Unified Tests of Causality and Cost of Carry: The Pricing of the French Stock Index Futures Contract," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 5(2), pages 121-140, April.
    • Handle: RePEc:ijf:ijfiec:v:5:y:2000:i:2:p:121-40
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    Cited by:

    1. Xiaole Wan & Zhen Zhang & Chi Zhang & Qingchun Meng, 2020. "Stock Market Temporal Complex Networks Construction, Robustness Analysis, and Systematic Risk Identification: A Case of CSI 300 Index," Complexity, Hindawi, vol. 2020, pages 1-19, July.
    2. Caporale, Guglielmo Maria & Girardi, Alessandro, 2013. "Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 227-240.
    3. Cao, Guangxi & Han, Yan & Cui, Weijun & Guo, Yu, 2014. "Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 308-320.
    4. Camilleri, Silvio John & Green, Christopher J., 2014. "Stock market predictability: Non-synchronous trading or inefficient markets? Evidence from the National Stock Exchange of India," MPRA Paper 95302, University Library of Munich, Germany.
    5. Junior, Peterson Owusu & Tiwari, Aviral Kumar & Padhan, Hemachandra & Alagidede, Imhotep, 2020. "Analysis of EEMD-based quantile-in-quantile approach on spot- futures prices of energy and precious metals in India," Resources Policy, Elsevier, vol. 68(C).
    6. Tao, Juan & Green, Christopher J., 2012. "Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 26-37.
    7. Angelos Kanas, 2008. "Modeling regime transition in stock index futures markets and forecasting implications," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 649-669.
    8. Diogo de Prince & Alexandre Monte, 2013. "What market (spot or future) reflects news first? An analysis in the frequency domain for Brazilian stock market," Economics Bulletin, AccessEcon, vol. 33(3), pages 1780-1787.
    9. Alessandro Girardi, 2008. "The Informational Content of Trades on the EuroMTS Platform," ISAE Working Papers 97, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).

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