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Effects of index option introduction on shock index volatility : a procedure for empirical testing based on SSC-GARCH models
Becchetti, Leonardo; Caggese, Andrea - In: Applied financial economics 10 (2000) 3, pp. 323-341
Persistent link: https://www.econbiz.de/10001526299
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The Impact of CSI 300 Index Futures Introduction on Underlying Stock Liquidity
He, Peng William - 2013
This paper examines liquidity in the China stock market around the introduction of the CSI 300 Index Futures contract. Two competing hypotheses are tested. Liquidity of constituents stocks in the underlying index may worsen as passive and uninformed investors migrate to the futures market. On...
Persistent link: https://www.econbiz.de/10013082298
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Time-zone arbitrage in vanguard international index funds
Donnelly, Katelyn Rae (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003748416
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Ultra High Frequency Statistical Arbitrage Across International Index Futures
Alsayed, Hamad - 2013
-quote changes in lagging contracts with a directional accuracy in excess of 85%. A simple statistical arbitrage strategy exploiting … arbitrage in this market setting. Overall, our results accord with the view that informational inefficiencies incentivize …
Persistent link: https://www.econbiz.de/10013086041
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The CRB encyclopedia of commodity and financial prices
Lown, Christopher J. (contributor);  … - Commodity Research Bureau - 2006
Persistent link: https://www.econbiz.de/10003451815
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Calendar anomalies in cash and stock index futures : international evidence
Floros, Christos; Salvador, Enrique - In: Economic modelling 37 (2014), pp. 216-223
Persistent link: https://www.econbiz.de/10010417707
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Intraday empirical analysis and modeling of diversified world stock indices
Breymann, Wolfgang; Kelly, Leah; Platen, Eckhard - 2004
Persistent link: https://www.econbiz.de/10002253944
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Intraday empirical analysis and modeling of diversified world stock indices
Breymann, Wolfgang; Kelly, Leah; Platen, Eckhard - In: Asia-Pacific financial markets 12 (2005) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10003370696
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Partial adjustment or stale prices? : Implications from stock index and futures return autocorrelations
Ahn, Dong-Hyun; Boudoukh, Jabob; Richardson, Matthew; … - In: The review of financial studies 15 (2002) 2, pp. 655-689
Persistent link: https://www.econbiz.de/10001688863
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Skew index : descriptive analysis, predictive power, and short-term forecast
Mora-Valencia, Andrés; Rodríguez-Raga, Santiago; … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012821304