Prior research documents an elevation in bidâ€ask spreads at the open and close of trading in futures markets. These findings directly contradict prior literature examining option and equities markets organised as competitive dealer markets, which also document a widening in spreads at the...

This paper estimates the impact of the debt tax shield, cash dividends and imputation tax credits on the prices of Australian stock index futures. Relative to futures payoffs, the cost of financing the set of shares of the underlying index provides a mild tax shield, cash dividends are...

This study represents the first empirical examination of the daily trading and portfolio configuration strategies of index and enhanced index equity funds. We document that passive funds benefit from employing less rigid rebalancing and investment strategies. During index revision periods,...