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Time to maturity in the basis of stock market indices: Evidence from the S&P 500 and the MMI

โœ Scribed by Marie-Claude Beaulieu

Book ID
117628300
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
184 KB
Volume
5
Category
Article
ISSN
0927-5398

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Clustering in the futures market: Eviden
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โœ Adam L. Schwartz; Bonnie F. Van Ness; Robert A. Van Ness ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 129 KB ๐Ÿ‘ 2 views

## Abstract We document trade price clustering in the futures markets. We find clustering at prices of x.00 and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout time to maturity of these contracts, there is a dramatic change when the S&P 500 futures contract is