Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference37 articles.
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4. The behavior of prices in the Nikkei spot and futures markets;Brenner;Journal of Financial Economics,1989
5. A further analysis of the lead lag relationship between the cash market and stock index futures market;Chan;Review of Financial Studies,1992
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