IDEAS home Printed from https://ideas.repec.org/r/ucp/jnlbus/v64y1991i4p523-47.html
   My bibliography  Save this item

Stock Index Futures and Index Arbitrage in a Rational Expectations Model

Citations

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


Cited by:

  1. De Winne, Rudy & Gresse, Carole & Platten, Isabelle, 2014. "Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 31-43.
  2. Hasbrouck, Joel, 1996. "Order characteristics and stock price evolution An application to program trading," Journal of Financial Economics, Elsevier, vol. 41(1), pages 129-149, May.
  3. F. Riva & A. Calamia & L. Deville, 2013. "Liquidity in European equity ETFs: What really matters?," Post-Print hal-00846610, HAL.
  4. Zigrand, Jean-Pierre, 1999. "Arbitrage and endogenous market integration," LSE Research Online Documents on Economics 119127, London School of Economics and Political Science, LSE Library.
  5. Huyen Phuong Do & Bich Ngoc Do & Tra My Nguyen & Thinh Vu Duy, 2021. "Arbitrage with Exchange-traded Funds: A Case of E1VFVN30 Based on Intraday Data," Economic Research Guardian, Mutascu Publishing, vol. 11(1), pages 130-143, June.
  6. Rhodes, Meredith E. & Mason, Joseph R., 2023. "ETF ownership and firm-specific information in corporate bond returns," Journal of Financial Markets, Elsevier, vol. 63(C).
  7. Dannhauser, Caitlin D., 2017. "The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs)," Journal of Financial Economics, Elsevier, vol. 125(3), pages 537-560.
  8. Quentin C. Chu & Mustafa Mesut Kayali, 2006. "Standard & Poor’S Depositary Receipts And The Market Quality Of S&P 500 Index Futures," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3).
  9. Prabhdeep Kaur & Jaspal Singh, 2021. "Impact of ETF Listing on the Returns Generated by Underlying Stocks: Indian Evidence," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 46(3), pages 263-288, August.
  10. repec:zbw:bofrdp:1994_019 is not listed on IDEAS
  11. Andy C.N. Kan, 2004. "Resiliency Ability of the Underlying Spot Market after the Introduction of Index Futures Contracts: Evidence from Hong Kong," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(3), pages 269-283, December.
  12. Chen, Haiqiang & Choi, Paul Moon Sub & Hong, Yongmiao, 2013. "How smooth is price discovery? Evidence from cross-listed stock trading," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 668-699.
  13. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2022. "Effect of futures trading on the liquidity of underlying stocks: Evidence from Vietnam," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  14. Tse, Yiuman, 2001. "Index arbitrage with heterogeneous investors: A smooth transition error correction analysis," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1829-1855, October.
  15. Ito, Takatoshi & Lin, Wen-Ling, 2001. "Race to the center: competition for the Nikkei 225 futures trade," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 219-242, July.
  16. Laurent Deville, 2008. "Exchange Traded Funds: History, Trading and Research," Post-Print halshs-00162223, HAL.
  17. Richie, Nivine & Madura, Jeff, 2007. "Impact of the QQQ on liquidity and risk of the underlying stocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 411-421, July.
  18. Shinhua Liu, 2016. "Are SPDR Options Good for the Underlying Stocks?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-27, December.
  19. Black, Jane & Tonks, Ian, 1999. "Time series of commodity futures prices," LSE Research Online Documents on Economics 119117, London School of Economics and Political Science, LSE Library.
  20. Wu, Weili & Zhu, Feifei, 2023. "ETF ownership and informational efficiency of underlying stocks: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  21. 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.
  22. Hietala, Pekka & Jokivuolle, Esa & Koskinen, Yrjö, 1994. "Short-selling restrictions, strategic stock holdings and index futures markets in Finland," Bank of Finland Research Discussion Papers 19/1994, Bank of Finland.
  23. Bühler, Wolfgang & Kempf, Alexander, 1994. "The value of the early unwind option in futures contracts with an endogenous basis," ZEW Discussion Papers 94-06, ZEW - Leibniz Centre for European Economic Research.
  24. repec:dau:papers:123456789/2742 is not listed on IDEAS
  25. Tu, Anthony H. & Hsieh, Wen-Liang G. & Wu, Wei-Shao, 2016. "Market uncertainty, expected volatility and the mispricing of S&P 500 index futures," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 78-98.
  26. Pascal Alphonse, 2007. "Mispricing Persistence and the Effectiveness of Arbitrage Trading," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 123-156, March-Jun.
  27. Hietala, Pekka & Jokivuolle, Esa & Koskinen, Yrjö, 1994. "Short-selling restrictions, strategic stock holdings and index futures markets in Finland," Research Discussion Papers 19/1994, Bank of Finland.
  28. Hegde, Shantaram P. & McDermott, John B., 2004. "The market liquidity of DIAMONDS, Q's, and their underlying stocks," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1043-1067, May.
  29. Luqi Yuan & Shihong Zeng, 2023. "The Comparison and Analysis of Exchange Traded Funds (ETFs) Return Rates," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(2), pages 1-4.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.