๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Price Expectation and the Pricing of Stock Index Futures

โœ Scribed by Hsinan Hsu; Janchung Wang

Book ID
111606644
Publisher
Springer US
Year
2004
Tongue
English
Weight
121 KB
Volume
23
Category
Article
ISSN
0924-865X

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๐Ÿ“œ SIMILAR VOLUMES

The pricing of stock index futures
The pricing of stock index futures
โœ Bradford Cornell; Kenneth R. French ๐Ÿ“‚ Article ๐Ÿ“… 1983 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 840 KB

he prices observed for stock index futures have surprised both academics and T practitioners. The price structure, which gives the relation between the futures and spot prices as a function of the time to maturity, is generally flatter than simple arbitrage models predict. In fact, the futures price

Arbitrage and price behavior of the Nikk
Arbitrage and price behavior of the Nikkei stock index futures
โœ Kian-Guan Lim ๐Ÿ“‚ Article ๐Ÿ“… 1992 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 703 KB

## Introduction he Nikkei Stock Average Futures contract started trading at the Singapore T International Monetary Exchange (SIMEX) on September 3, 1986. SIMEX became the first futures exchange to trade a stock index futures outside the country where the indexed stocks are traded. The stock index

Taxes and the pricing of stock index fut
Taxes and the pricing of stock index futures: Empirical results
โœ Bradford Cornell ๐Ÿ“‚ Article ๐Ÿ“… 1985 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 633 KB

n two articles, French (1983a, 1983b) argue that the prices of stock I index futures contracts may be less than predicted by a model which assumes perfect markets and ignores taxes, because futures traders lose the tax timing option. This article presents empirical tests of that conjecture. The res