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Comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk and transaction costs” by Peter Miu and Meng‐Lan Yueh: Reply

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  • Jieye Qin
  • Christopher J. Green
  • Kavita Sirichand

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  • Jieye Qin & Christopher J. Green & Kavita Sirichand, 2021. "Comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk and transaction costs” by Peter Miu and Meng‐Lan Yueh: Reply," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2083-2084, December.
    • Handle: RePEc:wly:jfutmk:v:41:y:2021:i:12:p:2083-2084
    DOI: 10.1002/fut.22261
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    References listed on IDEAS

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    1. Janchung Wang, 2011. "Price Behavior of Stock Index Futures: Evidence from the FTSE Xinhua China A50 and H-Share Index Futures Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 61-77, January.
    2. Brenner, Menachem & Subrahmanyam, Marti G. & Uno, Jun, 1989. "Stock index futures arbitrage in the Japanese markets," Japan and the World Economy, Elsevier, vol. 1(3), pages 303-330, July.
    3. Jieye Qin & Christopher J. Green & Kavita Sirichand, 2019. "Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1269-1300, October.
    4. Brenner, Menachem & Subrahmanyam, Marti G. & Uno, Jun, 1989. "The behavior of prices in the Nikkei spot and futures market," Journal of Financial Economics, Elsevier, vol. 23(2), pages 363-383, August.
    5. Gerald D. Gay & Dae Y. Jung, 1999. "A further look at transaction costs, short sale restrictions, and futures market efficiency: The case of Korean stock index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(2), pages 153-174, April.
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