✦ LIBER ✦

The relationship between stock indices and stock index futures from 3:00 to 3:15: A clarification

✍ Scribed by Thomas V. Schwarz

Publisher: John Wiley and Sons
Year: 1991
Tongue: English
Weight: 222 KB
Volume: 11
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990110511

No coin nor oath required. For personal study only.

✦ Synopsis

here is a debate regarding the overnight and weekend price patterns of stock T index futures. Maberly (1989), in response to an article by Phillips-Patrick and Schneeweis (1988), maintains that the expectation of dividend payments (for stocks going ex-dividend) and the reduced financial carrying costs of the spot index (due

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