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A comparison of futures pricing models in a new market: The case of individual share futures

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  • T.J. Brailsford
  • A.J. Cusack

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  • T.J. Brailsford & A.J. Cusack, 1997. "A comparison of futures pricing models in a new market: The case of individual share futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(5), pages 515-541, August.
    • Handle: RePEc:wly:jfutmk:v:17:y:1997:i:5:p:515-541
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    Cited by:

    1. 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.
    2. 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.
    3. Sila Alan, Nazli & Karagozoglu, Ahmet K. & Korkmaz, Sibel, 2016. "Growing pains: The evolution of new stock index futures in emerging markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 1-16.
    4. Stephen A. Easton & Sean M. Pinder, 1998. "The Pricing of Low Exercise Price Options," Australian Journal of Management, Australian School of Business, vol. 23(2), pages 203-212, December.
    5. Hsinan Hsu & Hsing-Chi Wu & Hsien-Yi Lee & Janchung Wang, 2010. "A measurement of the extent of market imperfections between markets and applications," Applied Economics, Taylor & Francis Journals, vol. 42(16), pages 2111-2126.
    6. 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.
    7. Edyta Marcinkiewicz, 2016. "Short Sale and Index Futures Mispricing: Evidence from the Warsaw Stock Exchange," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(5), pages 547-559.

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