The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

Recent work by Mackinlay and Ramaswamy (1987), Merrick (1987 (a), 1987 (b)), Modest
and Sudereshan (1983), Cornell and French (1983), Figlewski (1984 (a), 1984 (b)), and …

The Economics of Financial Markets puts economics to work on the daily problems faced by
investors, traders, speculators and brokers as they wrestle with increasingly diverse and …

Security Analysis, Portfolio Management, and Financial Derivatives integrates the many
topics of modern investment analysis. It provides a balanced presentation of theories …

Despite the importance of the London markets and the significance of the relationship for
market makers, little published research is available on arbitrage between the FTSE‐100 …

This paper examines the pricing of stock index futures contracts on the new Finnish market.
The striking feature of the Finnish market is that there is no institutional framework for short …

This paper examines the mispricing of Australian stock index futures. Exogenous and
endogenous price volatility is confirmed to have a positive impact on the mispricing spread …

Dependence across Time? Page 1 Does the S&P 500 Futures Mispricing Series Exhibit
Nonlinear Dependence across Time? Ravi Vaidyanathan Tim Krehbiel INTRODUCTION T he …

This paper offers a study of relevant transaction costs when examining the efficiency of stock
index futures markets. We suggest that a different transaction cost estimate should be used …

This study reports new findings on the behavior of index futures (FKLI: code name of Kuala
Lumpur Index Futures contract) prices and also records the effect of a major financial crisis …