✦ LIBER ✦

Dynamic efficiency and price leadership in stock index cash and futures markets

✍ Scribed by Thomas V. Schwarz; Francis E. Laatsch

Publisher: John Wiley and Sons
Year: 1991
Tongue: English
Weight: 938 KB
Volume: 11
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990110603

No coin nor oath required. For personal study only.

✦ Synopsis

The authors gratefully acknowledge the financial support of the Chicago Board of Trade Educa-'See Stoll and Whaley (1987) for a summary of the debate and their analysis. 'See Grossman (1988) for a limitation in the use of futures in dynamic hedging strategies. 3These deviations of actual from theoretical prices are labeled mispricings. See Laatsch and Schwarz (1988) for a summary of the early studies as well as the bibliography at the end of this paper.

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