IDEAS home Printed from
   My bibliography  Save this item

Taxes and the Pricing of Stock Index Futures


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

Cited by:

  1. Vesa Puttonen, 1992. "On the behaviour of the Finnish stock index options markets," Finnish Economic Papers, Finnish Economic Association, vol. 5(2), pages 117-128, Autumn.
  2. Simon Loria & Toan Pham & Ah Boon Sim, 1991. "The Performance of a Stock Index Futures Based Portfolio Insurance Scheme: Australian Evidence," Working Paper Series 5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  3. Panayiotis Andreou & Yiannos Pierides, 2008. "Empirical investigation of stock index futures market efficiency: the case of the Athens Derivatives Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 14(3), pages 211-223.
  4. 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.
  5. Lin, Xiaoqiang & Chen, Qiang & Tang, Zhenpeng, 2014. "Dynamic hedging strategy in incomplete market: Evidence from Shanghai fuel oil futures market," Economic Modelling, Elsevier, vol. 40(C), pages 81-90.
  6. Taufiq Hassan & Shamsher Mohamad & Mohamad Ariff & Annuar Md Nassir, 2007. "Stock Index Futures Prices and the Asian Financial Crisis-super-," International Review of Finance, International Review of Finance Ltd., vol. 7(3-4), pages 119-141.
  7. Lin Shinn-Juh & Stevenson Maxwell, 2001. "Wavelet Analysis of the Cost-of-Carry Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-17, April.
  8. Jack S. K. Chang & Jean C. H. Loo & Carolyn C. Wu Chang, 1990. "The Pricing Of Futures Contracts And The Arbitrage Pricing Theory," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 297-306, December.
  9. Louis T. W. Cheng & Joseph K. W. Fung & Castor Pang, 1998. "Early Unwinding Strategy In Index Options-Futures Arbitrage," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 447-467, December.
  10. Janchung Wang, 2009. "Stock market volatility and the forecasting performance of stock index futures," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(4), pages 277-292.
  11. Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin, 2015. "Common deviation and regime-dependent dynamics in the index derivatives markets," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 1-22.
  12. Fink, Christopher & Theissen, Erik, 2014. "Dividend taxation and DAX futures prices," CFR Working Papers 14-08, University of Cologne, Centre for Financial Research (CFR).
  13. Contreras, Mauricio & Montalva, Rodrigo & Pellicer, Rely & Villena, Marcelo, 2010. "Dynamic option pricing with endogenous stochastic arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3552-3564.
  14. Lin, Emily & Lee, Cheng-Few & Wang, Kehluh, 2013. "Futures mispricing, order imbalance, and short-selling constraints," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 408-423.
  15. Waksman, G. & Sandler, M. & Ward, M. & Firer, C., 1997. "Market timing on the Johannesburg Stock Exchange using derivative instruments," Omega, Elsevier, vol. 25(1), pages 81-91, February.
  16. Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo & Ruiz, Aaron, 2010. "A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5447-5459.
  17. Bühler, Wolfgang & Kempf, Alexander, 1994. "DAX Index Futures: Mispricing and Arbitrage in German Markets," ZEW Discussion Papers 94-15, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  18. Nam, Seung Oh & Kim, Hyun Kyung & Kim, Byung Chun, 2010. "An alternative approach to evaluating the agreement between financial markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 13-35, February.
  19. Inci, Ahmet Can & Lu, Biao, 2007. "Currency futures-spot basis and risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 180-197, April.
  20. Edyta Marcinkiewicz, 2016. "Short Sale and Index Futures Mispricing: Evidence from the Warsaw Stock Exchange," Prague Economic Papers, University of Economics, Prague, vol. 2016(5), pages 547-559.
  21. Kim, Bong-Han & Chun, Sun-Eae & Min, Hong-Ghi, 2010. "Nonlinear dynamics in arbitrage of the S&P 500 index and futures: A threshold error-correction model," Economic Modelling, Elsevier, vol. 27(2), pages 566-573, March.
  22. Giorgio Mirone, 2906. "Inference from the futures: ranking the noise cancelling accuracy of realized measures," CREATES Research Papers 2017-24, Department of Economics and Business Economics, Aarhus University.
  23. David C. Ling, 1993. "Mortgage-Backed Futures and Options," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(1), pages 47-67.
  24. Kapil Gupta & Balwinder Singh, 2007. "Investigating the Pricing Efficiency of Indian Equity Futures Market," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 32(4), pages 486-512, November.
  25. Bialkowski, Jedrzej & Jakubowski, Jacek, 2008. "Stock index futures arbitrage in emerging markets: Polish evidence," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 363-381.
  26. Chou-Wen Wang & Ting-Yi Wu, 2010. "Futures and futures options with basis risk: theoretical and empirical perspectives," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 477-485.
  27. Nicolau, Mihaela & Palomba, Giulio, 2015. "Dynamic relationships between spot and futures prices. The case of energy and gold commodities," Resources Policy, Elsevier, vol. 45(C), pages 130-143.
  28. Merz, Frederic, 1994. "Dynamic efficiency and price leadership in the DAX-future and the DAX cash market: An empirical investigation," Tübinger Diskussionsbeiträge 36, University of Tübingen, School of Business and Economics.
  29. Ostermark, Ralf & Hernesniemi, Hannu, 1995. "The impact of information timeliness on the predictability of stock and futures returns: An application of vector models," European Journal of Operational Research, Elsevier, vol. 85(1), pages 111-131, August.
  30. Jędrzej Białkowski & Jacek Jakubowski, 2017. "Determinants of Trading Activity on the Single-Stock Futures Market: Evidence from the Eurex Exchange," Working Papers in Economics 17/16, University of Canterbury, Department of Economics and Finance.
  31. James Richard Cummings & Alex Frino, 2008. "Tax Effects on the Pricing of Australian Stock Index Futures," Australian Journal of Management, Australian School of Business, vol. 33(2), pages 391-406, December.
  32. McDonald, Robert L., 2004. "The tax (dis)advantage of a firm issuing options on its own stock," Journal of Public Economics, Elsevier, vol. 88(5), pages 925-955, April.
  33. Chang, Charles & Lin, Emily, 2015. "Cash-futures basis and the impact of market maturity, informed trading, and expiration effects," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 197-213.
  34. repec:spr:eurasi:v:7:y:2017:i:3:d:10.1007_s40821-016-0056-2 is not listed on IDEAS
IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.