The saga of the first stock index futures contract: Benchmarks, models, and learning

Journal of Money, Credit and Banking

Volumn 34, Issue 3 II, 2002, Pages 767-808

  Thomas, Sam ^a  

^a CASE WESTERN RESERVE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036678976     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.1353/mcb.2002.0023     Document Type: Article

References (35)

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2. A simple model of herd behavior
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4. The pricing and performance of stock index futures spreads
5. Success and failure of futures contracts: Theory and empirical evidence
6. Order imbalances and stock price movements on october 19 and 20, 1987
7. On the geometric mean index: A note
8. Optimal arbitrage strategies under basis variability
9. Arbitrage in stock index futures
10. The behaviour of prices in the Nikkei spot and futures market
11. Arbitrage opportunities in the Japanese stock and futures markets
12. The inefficiency of the value line futures market
13. Capital market equilibrium and personal tax
14. Taxes and the pricing of stock index futures: Empirical results
15. The pricing of stock index futures
16. Taxes and the pricing of stock index futures
17. The pricing of futures and options contracts on the value line index
18. Explaining the early discounts on stock index futures: The case for disequilibrium
19. The relative pricing of eurodollar futures and forward contracts
20. Index futures arbitrage and the behaviour of stock index futures prices
21. Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects
22. Financial innovation: The last twenty years and the next
23. International competitiveness of U.S. futures exchanges
24. The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence
25. Market index futures contracts
26. How I helped to make Fischer Black wealthier
27. Innovation by an exchange: A case study of the development of the plywood futures contract
28. The effect of maturity on price fluctuations
29. Innovation, competition, and new contract design in futures markets
30. A behavioral model of rational choice
31. Program trading and expiration-day effects
32. Futures and options on stock indexes: Economic purpose, arbitrage and market structure