The pricing of stock index futures

Citations

Cited by:

1. Jacinta Chan Phooi M’ng & Ham Yi Jer, 2021. "Do economic statistics contain information to predict stock indexes futures prices and returns? Evidence from Asian equity futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1033-1060, October.
2. Taufiq Hassan & Shamsher Mohamad & Mohamad Ariff & Annuar Md Nassir, 2007. "Stock Index Futures Prices and the Asian Financial Crisis," International Review of Finance, International Review of Finance Ltd., vol. 7(3‐4), pages 119-141, September.
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4. 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.
   • 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.
5. Todd M. Hazelkorn & Tobias J. Moskowitz & Kaushik Vasudevan, 2023. "Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price," Journal of Finance, American Finance Association, vol. 78(1), pages 301-345, February.
6. Jimmy E. Hilliard & Haoran Zhang, 2020. "The impact of soft intervention on the Chinese financial futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 374-391, March.
7. Jintu George & Rajeesh Viswanathan & Faisal Usmani & Manoharan M, 2025. "Unveiling information asymmetry: analyzing spot-future price relations during cash and physical delivery settlements," Palgrave Communications, Palgrave Macmillan, vol. 12(1), pages 1-14, December.
8. 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.
9. 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.
10. Prashant Sharma & Prashant Gupta & Dinesh Kumar Sharma & Gaurav Agarwal, 2022. "Investigating the Efficiency of Bitcoin Futures in Price Discovery," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 104-109, May.
11. Jianqiang Hu & Tianxiang Wang & Wenwei Hu & Jun Tong, 2020. "The impact of trading restrictions and margin requirements on stock index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1176-1191, July.
12. Prashant Sharma & Geetika Arora & Prashant Gupta, 2020. "Evidences on Price Discovery in BRICS," International Journal of Economics and Financial Issues, Econjournals, vol. 10(6), pages 99-105.
13. Kempf, Alexander & Spengel, Christoph, 1993. "Die Bewertung des DAX-Futures: Der Einfluß von Dividenden," ZEW Discussion Papers 93-12, ZEW - Leibniz Centre for European Economic Research.
14. Bühler, Wolfgang & Kempf, Alexander, 1994. "DAX Index Futures: Mispricing and Arbitrage in German Markets," ZEW Discussion Papers 94-15, ZEW - Leibniz Centre for European Economic Research.
15. Xue, Jian & Guo, Na & Zhao, Laijun & Zhu, Di & Ji, Xiaoqin, 2020. "A cooperative inter-provincial model for energy conservation based on futures trading," Energy, Elsevier, vol. 212(C).
16. Białkowski, Jędrzej & Perera, Devmali, 2019. "Stock index futures arbitrage: Evidence from a meta-analysis," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 284-294.
17. 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.
18. Xiaofeng Yang & Ling Zhao, 2025. "Embedded theoretical quality option pricing in Treasury bond futures—Starting from the definition deviation of conversion factor," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(2), pages 1986-2000, April.
19. Giorgio Mirone, 2017. "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.
20. 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.
21. 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.
22. 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.
23. 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.
24. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2021. "Forty years of the Journal of Futures Markets: A bibliometric overview," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1027-1054, July.
25. Gurmeet Singh, 2017. "Estimating Optimal Hedge Ratio and Hedging Effectiveness in the NSE Index Futures," Jindal Journal of Business Research, , vol. 6(2), pages 108-131, December.
26. Garry J. Twite, 1993. "Effect of Stochastic Interest Rates on the Pricing of SPI Futures Contracts," Australian Journal of Management, Australian School of Business, vol. 17(2), pages 259-269, December.
27. Zhang, Huiming & Qian, Siji & Ma, Zhen, 2024. "An analysis of the market efficiency of the Chinese copper futures based on intertemporal and intermarket arbitrages," International Review of Financial Analysis, Elsevier, vol. 94(C).
28. Hakan Er & Adnan Hushmat, 2017. "The application of technical trading rules developed from spot market prices on futures market prices using CAPM," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 7(3), pages 313-353, December.