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Degree of market imperfections : evidence from four Asian index futures markets

Wang, Janchung - In: Applied financial economics 18 (2008) 13/15, pp. 1233-1246

Persistent link: https://www.econbiz.de/10003760260

Simulating convertible bond arbitrage portfolios

Hutchinson, Mark C.; Gallagher, Liam - In: Applied financial economics 18 (2008) 13/15, pp. 1247-1262

Persistent link: https://www.econbiz.de/10003760264

An out-of-sample comparative analysis of hedging performance of stock index futures : dynamic versus static hedging

Yang, Ming Jing; Lai, Yi-Chuan - In: Applied financial economics 19 (2009) 13/15, pp. 1059-1072

The purpose of this study is to examine the hedging performance of the major international stock index futures, including DJIA, S&P500, NASDAQ100, FTSE100, CAC40, DAX30 and Nikkei225 index futures, by using the various dynamic hedging strategies and the traditional static hedging strategies. The...

Persistent link: https://www.econbiz.de/10003886000

The internal and cross market efficiency in index option markets : an investigation of the Italian market

Brunetti, M.; Torricelli, Costanza - In: Applied financial economics 17 (2007) 1/3, pp. 25-33

Persistent link: https://www.econbiz.de/10003426998

The effect of derivatives trading on volatility of the underlying asset : evidence from the Greek stock market

Drimbetas, Evangelos; Sariannidis, Nikolaos; Porfiris, Nicos - In: Applied financial economics 17 (2007) 1/3, pp. 139-148

Persistent link: https://www.econbiz.de/10003427033

Is volatility risk priced after all? : some disconfirming evidence

Loudon, Geoffrey F.; Rai, Alan M. - In: Applied financial economics 17 (2007) 4/6, pp. 357-368

Persistent link: https://www.econbiz.de/10003446031

The impact of stock incremental information on the volatility of the Athens stock exchange

Diamandis, Panayotis F.; Drakos, Anastassios A.; Volis, … - In: Applied financial economics 17 (2007) 4/6, pp. 413-424

Persistent link: https://www.econbiz.de/10003446057

Heterogeneous information flows and intra-day volatility dynamics : evidence from the UK FTSE-100 stock index futures market

McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 16 (2006) 13, pp. 959-972

Persistent link: https://www.econbiz.de/10003377850

Price clustering in the CAC 40 index options market

Capelle-Blancard, Gunther; Chaudhury, Mohammed M. - In: Applied financial economics 17 (2007) 13/15, pp. 1201-1210

Persistent link: https://www.econbiz.de/10003590580

Returns to trading portfolios of FTSE 100 index options

Liu, Xiaoquan - In: Applied financial economics 17 (2007) 13/15, pp. 1211-1225

Persistent link: https://www.econbiz.de/10003590582