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What explains the difference between the futures' price and its "fair" value? Evidence from the Euronext Amsterdam

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  • Berglund, T.
  • Kabir, M.R.

    (Tilburg University, School of Economics and Management)

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  • Berglund, T. & Kabir, M.R., 2003. "What explains the difference between the futures' price and its "fair" value? Evidence from the Euronext Amsterdam," Other publications TiSEM ec81c70e-739d-4b03-be66-2, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:ec81c70e-739d-4b03-be66-2d9f81800300
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    References listed on IDEAS

    as
    1. French, Kenneth R., 1983. "A comparison of futures and forward prices," Journal of Financial Economics, Elsevier, vol. 12(3), pages 311-342, November.
    2. Cornell, Bradford & Reinganum, Marc R, 1981. "Forward and Futures Prices: Evidence from the Foreign Exchange Markets," Journal of Finance, American Finance Association, vol. 36(5), pages 1035-1045, December.
    3. Chen, Nai-Fu & Cuny, Charles J & Haugen, Robert A, 1995. "Stock Volatility and the Levels of the Basis and Open Interest in Future Contracts," Journal of Finance, American Finance Association, vol. 50(1), pages 281-300, March.
    4. Chan, Kalok & Chan, K C & Karolyi, G Andrew, 1991. "Intraday Volatility in the Stock Index and Stock Index Futures Markets," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 657-684.
    5. Richard, Scott F. & Sundaresan, M., 1981. "A continuous time equilibrium model of forward prices and futures prices in a multigood economy," Journal of Financial Economics, Elsevier, vol. 9(4), pages 347-371, December.
    6. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 441-468, December.
    7. Brenner, Menachem & Subrahmanyam, Marti G. & Uno, Jun, 1989. "The behavior of prices in the Nikkei spot and futures market," Journal of Financial Economics, Elsevier, vol. 23(2), pages 363-383, August.
    8. Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
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    Cited by:

    1. 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.
    2. 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.

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