A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.1991.tb04644.x/fullpdf
Reference24 articles.
1. The market for Japanese stock index futures: Some preliminary evidence;Bailey;Journal of Futures Markets,1989
2. Transactions data test of efficiency of the Chicago Board Options Exchange;Bhattacharya;Journal of Financial Economics,1983
3. Arbitrage in stock index futures;Brennan;Journal of Business,1990
4. Taxes and the pricing of stock index futures: Empirical results;Cornell;Journal of Futures Markets,1985
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