Standard and poor's depository receipts and the performance of the S&P 500 index futures market

Journal of Futures Markets

Volumn 20, Issue 8, 2000, Pages 705-716

  Switzer, Lorne N ^a   Varson, Paula L ^b   Zghidi, Samia ^c  

^a Civil and Environmental Engineering   (Canada)

^b UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^c University of Texas ^*  (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034374196     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/1096-9934(200009)20:8<705::AID-FUT1>3.0.CO;2-K     Document Type: Article

References (7)

1. Bhatt S., & Cakici, N. (1990). Premiums on stock index futures: Some evidence. Journal of Futures Markets, 10, 367-375.
2. Cornell B., & French, K. R. (1983a). Taxes and the pricing of stock index futures. Journal of Finance, 38, 675-694.
3. Cornell B., & French, K. R. (1983b). The pricing of stock index futures Journal of Futures Markets, 3, 1-14.
4. Elton E., Gruber, M., & Rentzler, J. (1984, February). Intraday tests of the efficiency of the treasury bill futures market," Review of Econometrics and Statistics, 66, 129-137.
5. Figlewski S. (1984). Explaining the early discounts on stock index futures: The case for disequilibrium. Financial Analysts Journal, 40, 43-47.
6. MacKinlay A. C., & Ramaswamy, K. (1988). Index futures arbitrage and the behavior of stock index futures prices. Review of Financial Studies, 1, 137-158.
7. Park T. H., & Switzer, L. N. (1995). Index participation units and the performance of index futures markets: Evidence from the Toronto 35 index participation units markets. Journal of Futures Markets, 15, 187-200.