Index arbitrage and the pricing relationship between Australian stock index futures and their underlying shares
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Cited by:
- Frino, Alex & Mollica, Vito & Webb, Robert I. & Zhang, Shunquan, 2017. "The impact of latency sensitive trading on high frequency arbitrage opportunities," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 91-102.
- Hsu, Chih-Hsiang & Lee, Hsiu-Chuan, 2014. "Insider trading and information revelation with the introduction of futures markets," Economic Modelling, Elsevier, vol. 43(C), pages 173-182.
- Rajesh Pathak & Thanos Verousis & Yogesh Chauhan, 2017. "Information Content of Implicit Spot Prices Embedded in Single Stock Future Prices: Evidence from Indian Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(2), pages 169-187, August.
- Sunil S. Poshakwale & Jude W. Taunson & Anandadeep Mandal & Michael Theobald, 2019. "Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 1135-1163, November.
- 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.
- Marcelo Perlin & Alfonso Dufour & Chris Brooks, 2014. "The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market," Annals of Finance, Springer, vol. 10(3), pages 457-480, August.
- Kristoffer Glover & Hardy Hulley, 2022. "Financially constrained index futures arbitrage," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1688-1703, September.
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