THE RELATIONSHIP BETWEEN SPOT AND FUTURES PRICES IN STOCK INDEX FUTURES MARKETS - SOME PRELIMINARY EVIDENCE

被引:105
|
作者
MODEST, DM
SUNDARESAN, M
机构
关键词
D O I
10.1002/fut.3990030103
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:15 / 41
页数:27
相关论文
共 50 条
  • [41] The Correlation Research of Chinese Stock Index Futures and Stock Index Spot
    Jing, Wang
    Jia, Du
    PROCEEDINGS OF THE 5TH (2013) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS I AND II, 2013, : 633 - 637
  • [42] The impact of futures trading on spot index volatility: evidence for Taiwan index futures
    Chiang, MH
    Wang, CY
    APPLIED ECONOMICS LETTERS, 2002, 9 (06) : 381 - 385
  • [43] An Empirical Study on the Linkage between SSE 50 Stock Index Futures and Stock Index Spot
    Chen Jia
    Chen Xiaoqian
    PROCEEDINGS OF THE 2017 3RD INTERNATIONAL CONFERENCE ON HUMANITIES AND SOCIAL SCIENCE RESEARCH (ICHSSR 2017), 2017, 121 : 289 - 293
  • [44] Revisiting the relationship between spot and futures oil prices: Evidence from quantile cointegrating regression
    Lee, Chien-Chiang
    Zeng, Jhih-Hong
    ENERGY ECONOMICS, 2011, 33 (05) : 924 - 935
  • [45] The relationship between spot and futures prices in the Nord Pool electricity market
    Botterud, Audun
    Kristiansen, Tarjei
    Ilic, Marija D.
    ENERGY ECONOMICS, 2010, 32 (05) : 967 - 978
  • [46] Empirical Research on the Relationship between the Futures and Spot Prices of Cotton in China
    Wang, Lin
    Tian, Guixian
    JOURNAL OF INFORMATION PROCESSING SYSTEMS, 2024, 20 (01): : 76 - 84
  • [47] Difference of information transmission between the Chinese stock and index futures markets
    Zhao H.
    Chen X.
    Huang S.
    Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2018, 38 (04): : 863 - 873
  • [48] GENERAL EQUILIBRIUM STOCK INDEX FUTURES PRICES - THEORY AND EMPIRICAL-EVIDENCE
    HEMLER, ML
    LONGSTAFF, FA
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1991, 26 (03) : 287 - 308
  • [49] The Empirical Study on the Intraday Interaction Relationship between Stock Index Futures and Stock Index
    Liu, Xiaoxue
    Dong, Cuiping
    EDUCATION AND MANAGEMENT, 2011, 210 : 407 - 413
  • [50] The lead-lag relationship between the spot and futures markets in China
    Wang, Donghua
    Tu, Jingqing
    Chang, Xiaohui
    Li, Saiping
    QUANTITATIVE FINANCE, 2017, 17 (09) : 1447 - 1456