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On The Dynamics Of Stock Index Futures And Individual Stock Returns

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  • Teppo Martikainen
  • Jukka Perttunen
  • Vesa Puttonen

Abstract

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Suggested Citation

  • Teppo Martikainen & Jukka Perttunen & Vesa Puttonen, 1995. "On The Dynamics Of Stock Index Futures And Individual Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 22(1), pages 87-100, January.
    • Handle: RePEc:bla:jbfnac:v:22:y:1995:i:1:p:87-100
    DOI: 10.1111/j.1468-5957.1995.tb00673.x
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    References listed on IDEAS

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    1. Pradeep K. Yadav & Peter F. Pope, 1990. "Stock index futures arbitrage: International evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(6), pages 573-603, December.
    2. Chan, Kalok, 1992. "A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market," The Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 123-152.
    3. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 441-468, December.
    4. Teppo Martikainen & Jukka Perttunen & Vesa Puttonen, 1995. "The Lead‐Lag Effect Between Large And Small Firms: Evidence From Finland," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 22(3), pages 449-454, April.
    5. Subrahmanyam, Avanidhar, 1991. "A Theory of Trading in Stock Index Futures," The Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 17-51.
    6. Cohen, Kalman J. & Hawawini, Gabriel A. & Maier, Steven F. & Schwartz, Robert A. & Whitcomb, David K., 1983. "Friction in the trading process and the estimation of systematic risk," Journal of Financial Economics, Elsevier, vol. 12(2), pages 263-278, August.
    7. Vesa Puttonen, 1993. "Short sales restrictions and the temporal relationship between stock index cash and derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(6), pages 645-664, September.
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    Cited by:

    1. Teppo Martikainen & Vesa Puttonen, 1996. "Finnish Day‐Of‐The‐Week Effects," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 23(7), pages 1019-1032, October.
    2. G. Geoffrey Booth & Juha‐Pekka Kallunki & Teppo Martikainen, 1996. "Post‐Announcement Drift And Income Smoothing: Finnish Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 23(8), pages 1197-1211, December.

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