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Index Futures and Predictability of the Underlying Stocks’ Returns: The Case of the Nikkei 225

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  • Shinhua Liu

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File URL: http://hdl.handle.net/10.1007/s10693-008-0034-7
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Bibliographic Info

Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 34 (2008)
Issue (Month): 1 (August)
Pages: 77-91

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Handle: RePEc:kap:jfsres:v:34:y:2008:i:1:p:77-91

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Web page: http://www.springerlink.com/link.asp?id=102934

Related research

Keywords: Nikkei 225 futures; Underlying stocks; Return predictability; Price informativeness; G13; G14; G15;

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  1. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
  2. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
  3. Ito, Takatoshi & Lin, Wen-Ling, 2001. "Race to the center: competition for the Nikkei 225 futures trade," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 219-242, July.
  4. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  5. Subrahmanyam, Avanidhar, 1991. "A Theory of Trading in Stock Index Futures," Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 17-51.
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