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 …

This paper examines the lead‐lag relationship between the spot index and futures price of
the Nikkei Stock Average. Using daily data in the post‐crash period we investigate the …

This study estimates and compares the hedge ratios of the conventional and the error
correction models using Japan's Nikkei Stock Average (NSA) index and the NSA index …

This paper investigates the efficiency of the market for stock index futures and the profitability
of index arbitrage for The Chicago Board of Trade's Major Market Index contracts. The spot …

Based on the belief that 'what goes up must come down'and that investors overreact to
information, contrarian strategies recommend buying past losers and selling past winners to …

Previous tests of stock index arbitrage models have rejected the no-arbitrage constraint
imposed by these models. This paper provides a detailed analysis of actual S&P 500 …

This study evaluates the impact of stock trading activity around expirations of Japanese
stock index options and futures contracts on the underlying stock prices. Though these …

Discusses a study on the price relation between the German stock performance index, DAX,
and DAX futures. No dividend risk; Relationship cannot be described by the cost-of-carry …

Closed-end country funds are often touted as convenient vehicles for diversifying US equity
portfolios. The usefulness of country funds as instruments for diversification is examined …

Persistent underpricing in the Korean stock index futures market is documented and
alternative explanations are examined. No‐arbitrage pricing bands are computed using …