메뉴 건너뛰기




Volumn 20, Issue 4, 2000, Pages 321-344

Integration and arbitrage in the Spanish financial markets: An empirical approach

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0034397350     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(200004)20:4<321::AID-FUT2>3.0.CO;2-J     Document Type: Article
Times cited : (11)

References (20)
  • 1
    • 0002675919 scopus 로고
    • On the fundamental theorem of asset pricing with an infinite state space
    • Back, K., & Pliska, S. R. (1991). On the fundamental theorem of asset pricing with an infinite state space. Journal of Mathematical Economics, 20, 1-18.
    • (1991) Journal of Mathematical Economics , vol.20 , pp. 1-18
    • Back, K.1    Pliska, S.R.2
  • 2
    • 0040226075 scopus 로고    scopus 로고
    • Measuring the degree of fulfillment of the law of one price, applications to financial market integration
    • Balbás, A., & Muñoz, M. J. (1998). Measuring the degree of fulfillment of the law of one price, applications to financial market integration. Investigaciones Económicas, 22, 153-177.
    • (1998) Investigaciones Económicas , vol.22 , pp. 153-177
    • Balbás, A.1    Muñoz, M.J.2
  • 3
    • 0010272940 scopus 로고    scopus 로고
    • Measuring the arbitrage opportunities in an intertemporal dynamic asset pricing model
    • F. J. Girón, (Ed.), Boston: Kluwer
    • Balbás, A., Guerra, P. J., & Muñoz, M. J. (1998). Measuring the arbitrage opportunities in an intertemporal dynamic asset pricing model. In F. J. Girón, (Ed.), Applied Decision Analysis. Boston: Kluwer,. pp. 159-172.
    • (1998) Applied Decision Analysis , pp. 159-172
    • Balbás, A.1    Guerra, P.J.2    Muñoz, M.J.3
  • 4
    • 21844482303 scopus 로고
    • Measurement of market integration and arbitrage
    • Chen, Z., & Knez, P. J. (1995). Measurement of market integration and arbitrage. The Review of Financial Studies, 8, 563-79.
    • (1995) The Review of Financial Studies , vol.8 , pp. 563-579
    • Chen, Z.1    Knez, P.J.2
  • 5
    • 0010133328 scopus 로고
    • The behavior of the volatility implicit in the prices of stock index options
    • Day, T. E., & Lewis C. M. (1988). The behavior of the volatility implicit in the prices of stock index options. Journal of Financial Economics, 22, 103-122.
    • (1988) Journal of Financial Economics , vol.22 , pp. 103-122
    • Day, T.E.1    Lewis, C.M.2
  • 6
    • 0000089498 scopus 로고
    • The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models
    • Hansen, L. P., & Richard, S. F. (1987). The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Econometrica, 55, 587-613.
    • (1987) Econometrica , vol.55 , pp. 587-613
    • Hansen, L.P.1    Richard, S.F.2
  • 8
    • 38649141305 scopus 로고
    • Martingales and arbitrage in multiperiod security markets
    • Harrison, J., & Kreps, D. (1979). Martingales and arbitrage in multiperiod security markets. Journal of Economic Theory, 20, 381-408.
    • (1979) Journal of Economic Theory , vol.20 , pp. 381-408
    • Harrison, J.1    Kreps, D.2
  • 9
    • 0001390414 scopus 로고    scopus 로고
    • A note on the weak efficiency of capital markets: The application of simple technical trading rules to U.K. stock prices 1935 to 1994
    • Hudson, R., Dempsey, M., & Keasey, K. (1996). A note on the weak efficiency of capital markets: The application of simple technical trading rules to U.K. stock prices 1935 to 1994. Journal of Banking and Finance, 20, 1121-1132.
    • (1996) Journal of Banking and Finance , vol.20 , pp. 1121-1132
    • Hudson, R.1    Dempsey, M.2    Keasey, K.3
  • 11
    • 0000705481 scopus 로고
    • Martingales and arbitrage in securities markets with transaction costs
    • Jouini, E., & Kallal, H. (1995). Martingales and arbitrage in securities markets with transaction costs. Journal of Economic Theory, 66, 178-197.
    • (1995) Journal of Economic Theory , vol.66 , pp. 178-197
    • Jouini, E.1    Kallal, H.2
  • 13
    • 0041737144 scopus 로고    scopus 로고
    • Trading System and Market Integration
    • Nuremberg, October 1-3
    • th AFIR Colloquium,. Nuremberg, October 1-3, 1709-1728.
    • (1996) th AFIR Colloquium , pp. 1709-1728
    • Kempf, A.1    Korn, O.2
  • 14
    • 84977729924 scopus 로고
    • One market? Stocks, futures and options during October 1987
    • Kleidon, A. W., & Whaley, R. E. (1992). One market? stocks, futures and options during October 1987. The Journal of Finance, 67, 851-877.
    • (1992) The Journal of Finance , vol.67 , pp. 851-877
    • Kleidon, A.W.1    Whaley, R.E.2
  • 15
    • 0033479751 scopus 로고    scopus 로고
    • Efficiency test in the spanish futures markets
    • Lee, C. I., & Mathur, I. (1999). Efficiency test in the spanish futures markets. The Journal of Futures Markets, 19, 59-77.
    • (1999) The Journal of Futures Markets , vol.19 , pp. 59-77
    • Lee, C.I.1    Mathur, I.2
  • 16
    • 84978569960 scopus 로고
    • A transactions data analysis of arbitrage between index options and index futures
    • Lee, J. H., & Nayar, N. (1993). A transactions data analysis of arbitrage between index options and index futures. The Journal of Futures Markets, 13, 889-902.
    • (1993) The Journal of Futures Markets , vol.13 , pp. 889-902
    • Lee, J.H.1    Nayar, N.2
  • 17
    • 0010863826 scopus 로고
    • Valuation of risky assets in arbitrage free economies with frictions
    • Prisman, E. J. (1986). Valuation of risky assets in arbitrage free economies with frictions. The Journal of Finance, 41, 545-56.
    • (1986) The Journal of Finance , vol.41 , pp. 545-556
    • Prisman, E.J.1
  • 18
    • 0000651448 scopus 로고
    • Spot and futures prices and the law of one price
    • Protopapadakis, A., & Stoll, H. R. (1983). Spot and futures prices and the law of one price. The Journal of Finance, 38, 1431-55.
    • (1983) The Journal of Finance , vol.38 , pp. 1431-1455
    • Protopapadakis, A.1    Stoll, H.R.2
  • 19
    • 84978594430 scopus 로고
    • A reexamination of put-call parity on index futures
    • Sternberg, J. S. (1994). A reexamination of put-call parity on index futures. The Journal of Futures Markets, 14, 79-101.
    • (1994) The Journal of Futures Markets , vol.14 , pp. 79-101
    • Sternberg, J.S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.