This communication documents a substantial change in the relationship between volume and open interest for the S&P 500 futures contract. Not unexpectedly, it affirms a positive association between volume and open interest. However, comparison of the relationship for the pre-and post-Crash periods im
A note on forecasting the CAC 40 and DAX stock index futures
β Scribed by Clare, Andrew; Miffre, Joelle
- Book ID
- 121724673
- Publisher
- Taylor and Francis Group
- Year
- 1995
- Tongue
- English
- Weight
- 257 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1350-4851
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract Using a timeβvarying regimeβswitching vector error correction approach, we find strong evidence that the NIKKEI stock index cash and futures prices are jointly characterized by regime switching, which is timeβvarying and dependent upon the basis, the interest rate, the volatility of the
Patrick and Schneeweis (1988) ' Lakonishok and Smidt (1988) observed that high dividend returns on Mondays is a recent phenomenon. "In 1981, forty-two percent of the dividends were paid on Mondays. However, the daily dividend returns are much too small to explain the weekly seasonal.
he cash settlement feature of the Standard & Poor's (S&P) 500 futures and S&P T 100 options requires that arbitrage positions be unwound or rolled over immediately prior to expiration. This has led to concerns that index futures and index options have a destabilizing effect on equity prices during t