An alternative approach to investigating lead-lag relationships between stock and stock index futures markets
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- Grossman, Sanford J & Miller, Merton H, 1988. " Liquidity and Market Structure," Journal of Finance, American Finance Association, vol. 43(3), pages 617-637, July.
- Anthony F. Herbst & Joseph P. McCormack & Elizabeth N. West, 1987. "Investigation of a lead‐lag relationship between spot stock indices and their futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(4), pages 373-381, August.
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- Kawaller, Ira G & Koch, Paul D & Koch, Timothy W, 1987. " The Temporal Price Relationship between S&P 500 Futures and the S and P 500 Index," Journal of Finance, American Finance Association, vol. 42(5), pages 1309-1329, December.
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- Jahangir Sultan & Mohammad Hasan, 2008. "The effectiveness of dynamic hedging: evidence from selected European stock index futures," The European Journal of Finance, Taylor & Francis Journals, vol. 14(6), pages 469-488.
- repec:eee:riibaf:v:46:y:2018:i:c:p:528-536 is not listed on IDEAS
- Mohammad Hasan, 2005. "An alternative approach in investigating lead--lag relationships between stock and stock index futures markets -- comment," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(2), pages 125-130, March.
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