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Price Movements and Price Discovery in Futures and Cash Markets

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Author Info
Garbade, Kenneth D
Silber, William L

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Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 65 (1983)
Issue (Month): 2 (May)
Pages: 289-97
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Handle: RePEc:tpr:restat:v:65:y:1983:i:2:p:289-97

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  1. Jan Hanousek & Libor Nemecek, 2002. "Mispricing and lasting arbitrage between parallel markets in the Czech Republic," European Journal of Finance, Taylor and Francis Journals, vol. 8(1), pages 46-69, March. [Downloadable!] (restricted)
    Other versions:
  2. Francesco Pattarin & Riccardo Ferretti, 2004. "The Mib30 index and futures relationship: econometric analysis and implications for hedging," Applied Financial Economics, Taylor and Francis Journals, vol. 14(18), pages 1281-1289, December. [Downloadable!] (restricted)
  3. Shinn-Juh Lin & Max Stevenson, 1999. "Wavelet Analysis of Index Prices in Futures and Cash Markets: Implication for the Cost-Of-Carry Model," Research Paper Series 11, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  4. K. Chau & S. Wong & C. Yiu, 2007. "Housing Quality in the Forward Contracts Market," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 313-325, April. [Downloadable!] (restricted)
  5. Michael W. Brandt & Kenneth A. Kavajecz, 2003. "Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve," NBER Working Papers 9529, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. 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. [Downloadable!]
  7. Chin-Chia Liang & Jeng-Bau Lin & Jin-Ming Liang, 2008. "Nonlinear Mean Reversion and Arbitrage in the Gold Futures Market," Economics Bulletin, Economics Bulletin, vol. 6(9), pages 1-11. [Downloadable!]
  8. Quentin C. Chu & Mustafa Mesut Kayali, 2006. "Standard & Poor’S Depositary Receipts And The Market Quality Of S&P 500 Index Futures," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3). [Downloadable!] (restricted)
  9. Zapata, T. Randall Fortenbery & Armstrong, Delroy, 2005. "Price Discovery in the World Sugar Futures and Cash Markets: Implications for the Domincan Republic," Staff Paper Series 469, University of Wisconsin, Agricultural and Applied Economics. [Downloadable!]
  10. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York. [Downloadable!]
  11. Hector O. Zapata & T. RANDALL FORTENBERY, 1995. "Stochastic Interest Rates and Price Discovery in Selected Commodity Markets," Wisconsin-Madison Agricultural and Applied Economics Staff Papers 383, Wisconsin-Madison Agricultural and Applied Economics Department. [Downloadable!]
  12. Baffes, John & Ajwad, Mohamed I., 1998. "Detecting price links in the world cotton market," Policy Research Working Paper Series 1944, The World Bank. [Downloadable!]
  13. Ronald Ripple & Imad Moosa, 2005. "Futures Maturity and Hedging Effectiveness - The Case of Oil Futures," Research Papers 0513, Macquarie University, Department of Economics. [Downloadable!]
  14. S. Wong & K. Chau & C. Yiu, 2007. "Volatility Transmission in the Real Estate Spot and Forward Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 281-293, October. [Downloadable!] (restricted)
  15. Ah-Boon Sim, Ralf Zurbruegg, 2001. "Optimal hedge ratios and alternative hedging strategies in the presence of cointegrated time-varying risks," European Journal of Finance, Taylor and Francis Journals, vol. 7(3), pages 269-283, September. [Downloadable!] (restricted)
  16. Van Winkle, Tyler W. & Schroeder, Ted C., 2008. "Spatial Price Discovery, Dynamics, and Leadership in Evolving Distiller’s Grain Markets," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6933, Southern Agricultural Economics Association. [Downloadable!]
  17. Christopher Chung & Bryan Campbell & Scott Hendry, 2007. "Price Discovery in Canadian Government Bond Futures and Spot Markets," Working Papers 07-4, Bank of Canada. [Downloadable!]
  18. Bekiros, S. & Diks, C.G.H., 2007. "The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality," CeNDEF Working Papers 07-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
    Other versions:
  19. Dahlgran, Roger A., 2000. "An Examination Of Futures Price Determination Through The Lens Of Market Integration," 2000 Annual Meeting, June 29-July 1, 2000, Vancouver, British Columbia 36334, Western Agricultural Economics Association. [Downloadable!]
  20. Hector O. ZAPATA & T. Randall FORTENBERY, 1995. "Stochastic Interest Rates And Price Discovery In Selected Commodity Markets," Staff Papers 383, University of Wisconsin Madison, AAE. [Downloadable!]
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