, especially price pressures, make it difficult to take advantage of this anomaly. However, these costs are minimal in the futures … markets. This paper discusses the results of small minus large capitalized US stocks since futures trading began in 1982 …. There is some anticipation of the effect and in the futures markets; the anomaly still exists but is now totally in December …

investor's expectation, namely, the quote for futures contracts. After controlling for the temporary component effect and using … the lead-lag relationship between the spot and futures markets, we show that foreign investors are indeed most well …

volatility in the Indian stock market after the introduction of futures contracts on the SENSEX index. To explore the time series … introduction of futures leads to a significant change in the spot market volatility of the SENSEX index and it is successful in …

the prices and volumes in the VIX futures. We find thatthe ETPs’ information-less, mechanical rebalancing of futures … positive predictive power for end-of-day futures returns. We also show thatthe impact on price has diminished through time as a …

a financial market consisting of a bank account and a VIX futures. In order to have some benchmark model available, we … related VIX index, the VIX futures and a VIX call option …

The “adverse selection” hypothesis expects that the introduction of index futures trading will decrease the liquidity … of index component stocks as liquidity-motivated traders migrate to futures trading. Conversely, the “index arbitrage … stocks increase after the advent of index futures trading. The probability of informed trading of these stocks jumps in the …