Price discovery and changes in regimes for stock index futures-Reference-Cited by-同舟云学术

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Price discovery and changes in regimes for stock index futures

Published:2003-12 Issue:3 Volume:14 Page:287-301
ISSN:1044-0283
Container-title:Global Finance Journal
language:en
Short-container-title:Global Finance Journal

Author:

Chiang Min-Hsien

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference33 articles.

1. Futures market efficiency, the unbiasedness hypothesis and variance-bounds tests: The case of the FTSE-100 futures contract;Antoniou;Bulletin of Economic Research,1996

2. Premiums on stock index futures: Some evidence;Bhatt;Journal of Futures Markets,1990

3. Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test;Chan;Journal of Banking and Finance,1993

4. Regime switching and cointegration tests of the efficiency of futures markets;Chow;Journal of Futures Markets,1998

5. Futures market efficiency: Evidence from cointegration tests;Chowdhury;Journal of Futures Markets,1991

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