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SETS, Arbitrage Activity, and Stock Price Dynamics
Taylor, Nick; van Dijk, Dick; Franses, Philip Hans; … - 1999
costs and the time taken to carry out a trade. Using thecost-of-carry model of futures prices we estimate(non-linearly) the … transaction costs and trade speeds faced by arbitragerswho take advantage of mispricing of FTSE100futures contracts relative to …
Persistent link: https://www.econbiz.de/10010324378
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Is there lif(f)e after DTB? : competitive aspects of cross listed futures contracts on synchronous markets
Kofman, Paul; Bouwman, Tony; Moser, James T. - 1993
Persistent link: https://www.econbiz.de/10000892090
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Settlement, tax and non-synchronous effects in the basis of UK stock index futures
Theobald, Michael; Yallup, Peter - 1996
Persistent link: https://www.econbiz.de/10000598332
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Splitting orders in overlapping markets : a study of cross-listed stocks
Menkveld, Albert J. - In: Journal of financial intermediation 17 (2008) 2, pp. 145-174
Persistent link: https://www.econbiz.de/10003756030
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Three essays in market microstructure
Zabotina, Tatyana V. - 2002
Persistent link: https://www.econbiz.de/10003777581
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Arbitrage and the evaluation of linear factor models in UK stock returns
Fletcher, Jonathan - In: The financial review : the official publication of the … 45 (2010) 2, pp. 449-468
Persistent link: https://www.econbiz.de/10003974102
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Noise-trading, costly arbitage, and asset prices : evidence from US closed-end funds
Flynn, Sean Masaki (contributor) - 2005
Persistent link: https://www.econbiz.de/10003430563
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On inverse carrying charges and spatial arbitrage
Larson, Donald Frederick - In: The journal of futures markets 27 (2007) 4, pp. 305-336
Persistent link: https://www.econbiz.de/10003493062
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Cross-listed cross-currency assets and arbitrage with forwards and options
Ghosh, Dilip K.; Ghosh, Dipasri; Bhatnagar, Chandra Shekhar - In: Global finance journal 21 (2010) 1, pp. 98-110
Persistent link: https://www.econbiz.de/10008990273
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SETS, arbitrage activity, and stock price dynamics
Taylor, Nicholas; Dijk, Dick van; Franses, Philip Hans; … - 1999
costs and the time taken to carry out a trade. Using thecost-of-carry model of futures prices we estimate(non-linearly) the … transaction costs and trade speeds faced by arbitragerswho take advantage of mispricing of FTSE100futures contracts relative to …
Persistent link: https://www.econbiz.de/10011300557