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Tail wags dog : intraday price discovery in VIX markets
Bollen, Nicolas P. B.; O'Neill, Michael J.; Whaley, … - In: The journal of futures markets 37 (2017) 5, pp. 431-451
Persistent link: https://www.econbiz.de/10011950704
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Pricing kernel monotonicity and conditional information
Linn, Matthew; Shive, Sophie; Shumway, Tyler - In: The review of financial studies 31 (2018) 2, pp. 493-531
Persistent link: https://www.econbiz.de/10011925238
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Identifying the effect of stock indexing : impetus or impediment to arbitrage and price discovery?
Ahn, Byung Hyun; Patatoukas, Panos N. - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 5, pp. 2022-2062
Persistent link: https://www.econbiz.de/10013367056
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A time series test of calendar seasonalities in the S & P 500 index since the introduction of index derivative securities
Cyr, Don J. - In: The journal of futures markets 14 (1994) 5, pp. 511-529
Persistent link: https://www.econbiz.de/10001169818
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The linkages of S & P 500 stock index and S & P 500 stock index futures prices during October 1987
Arshanapalli, Bala Gangadhar - In: Journal of economics & business 49 (1997) 3, pp. 253-266
Persistent link: https://www.econbiz.de/10001222780
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Energy prices and their impact on US stock indices : a wavelet- based quantile-on-quantile regression approach
Ahmad Monir Abdullah; Aini Aman - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 3, pp. 216-234
Persistent link: https://www.econbiz.de/10014533190
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Analysis of the effect of index futures on stock market with a new Fama-French 3-factor model
Bei, Xinyue; Yang, Yanjia; Li, Liuling; Mizrach, Bruce … - In: Theoretical economics letters 4 (2014) 9, pp. 748-759
Persistent link: https://www.econbiz.de/10010531254
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Price discovery function of index futures in China : evidence from daily closing prices
Xie, Shiqing; Huang, Jiajun - In: Economic and political studies : EPS 1 (2013) 2, pp. 40-54
Persistent link: https://www.econbiz.de/10010371979
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Trading with tigers : a technical analysis of Southeast Asian stock index futures
Heng, Panha; Niblock, Scott J. - In: International economic journal 28 (2014) 4, pp. 679-692
Persistent link: https://www.econbiz.de/10010504177
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Does the introduction of stock index futures destabilize the spot market? : Some cross-country evidence from Asia
Dong, Yan; Fan, Cijun; Zhang, Dayong - In: The Chinese economy 49 (2016) 5, pp. 374-394
Persistent link: https://www.econbiz.de/10011666780