๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

The pricing and performance of stock index futures spreads

โœ Scribed by Randall S. Billingsley; Don M. Chance


Publisher
John Wiley and Sons
Year
1988
Tongue
English
Weight
881 KB
Volume
8
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


The pricing of stock index futures sprea
โœ Alex Frino; Michael D. McKenzie ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 150 KB

## Abstract This paper conducts an empirical analysis of the mispricing of calendar spreads for stock index futures. Using recent data drawn from the Sydney Futures Exchange, a sharp increase in the magnitude of spread mispricing immediately prior to maturity of the near contract is documented. Thi

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

Taxes and the pricing of stock index fut
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

Stock market volatility and the forecast
โœ Janchung Wang ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 120 KB ๐Ÿ‘ 1 views

## Abstract This study attempts to apply the general equilibrium model of stock index futures with both stochastic market volatility and stochastic interest rates to the TAIFEX and the SGX Taiwan stock index futures data, and compares the predictive power of the cost of carry and the general equili

Pricing stock index futures with stochas
โœ Nusret Cakici; Sris Chatterjee ๐Ÿ“‚ Article ๐Ÿ“… 1991 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 808 KB

This research was partly funded by a grant from the Coordinating Council of Business Studies at Rutgers University. We gratefully acknowledge the superb research assistance of Steve Alessandrini, and the comments of two anonymous referees. This paper was presented at the 1990 meeting of the Northern

An empirical examination of composite st
โœ Edward M. Saunders Jr.; Arvind Mahajan ๐Ÿ“‚ Article ๐Ÿ“… 1988 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 1009 KB

T composite stock index futures prices to associated normative prices as specified by an arbitrage argument while controlling for significant market imperfections. This research contrasts with earlier empirical works in several ways. First, the arbitrage argument is maintained despite the assumption