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Price discovery in the Indian stock index futures market

Ranajee; Pathak, Rajesh - In: The empirical economics letters : a monthly … 17 (2018) 11, pp. 1339-1349

Persistent link: https://www.econbiz.de/10012006904

Three essays in market microstructure

Zabotina, Tatyana V. - 2002

Persistent link: https://www.econbiz.de/10003777581

Volume determination in stock and stock index futures markets : an analysis of arbitrage and volatility effects

Merrick, John J. - 1987

Persistent link: https://www.econbiz.de/10000741962

A test of the cost carry relationship using 90-Day Bank accepted bills and the all ordinaries share price index

Heaney, Richard A. - In: Australian journal of management 20 (1995) 1, pp. 75-104

Persistent link: https://www.econbiz.de/10001192131

A test of the cost of carry relationship for the Australian 90 day bank accepted bill futures market

Heaney, Richard A. - In: Applied financial economics 6 (1996) 2, pp. 143-153

Persistent link: https://www.econbiz.de/10001198670

Program trading and stock index arbitrage

Canina, Linda - In: Finance, (pp. 315-339). 1995

Persistent link: https://www.econbiz.de/10001318009

Optimal Arbitrage Strategies on Stock Index Futures Under Position Limits

Dai, Min - 2010

stocks in the index basket, an arbitrageur can lock in the profit of a positive (negative) arbitrage basis in a stock index … futures by adopting a short (long) futures strategy. In addition, the arbitrageur may improve the arbitrage profit by adopting … position directly to the short position or vice versa. In this paper, we examine the optimal arbitrage strategies in stock …

Persistent link: https://www.econbiz.de/10013149201

Dynamic relationship between Indian stock index and commodity derivatives : with special reference to metals

Mohanty, Debasis; Khan, Jakki Samir; Das, Subhasish; … - In: International journal of economics and accounting : IJEA 10 (2021) 4, pp. 394-409

Persistent link: https://www.econbiz.de/10012669225

Currency-adjusted stock index causality and cointegration : evidence from intraday data

Jalbert, Terrance - In: The international journal of business and finance … 9 (2015) 5, pp. 83-91

Persistent link: https://www.econbiz.de/10011383380

Option pricing and the martingale restriction

Longstaff, Francis A. - In: The review of financial studies 8 (1995) 4, pp. 1091-1124

Persistent link: https://www.econbiz.de/10001198365