The intraday ex post and ex ante profitability of index arbitrage-Reference-Cited by-同舟云学术

The intraday ex post and ex ante profitability of index arbitrage

Published:1991-06 Issue:3 Volume:11 Page:291-311
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Klemkosky Robert C.,Lee Jae Ha

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference23 articles.

1. The pricing of commodity contracts

2. Arbitrage in Stock Index Futures

3. (1988): “A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability”, Paper presented at the American Financial Association Meetings, December, New York, NY.

4. Taxes and the pricing of stock index futures: Empirical results

5. The pricing of stock index futures

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