Expiration-day effects of the all ordinaries share price index futures: Empirical evidence and alternative settlement procedures

Australian Journal of Management

Volumn 22, Issue 2, 1997, Pages 139-174

  Stoll, Hans R ^a   Whaley, Robert E ^b  

^a VANDERBILT UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

Expiration day effects; Index arbitrage; Program trading; Settlement procedures; Stock index futures

Indexed keywords

EID: 0038458948     PISSN: 03128962     EISSN: 13272020     Source Type: Journal    
DOI: 10.1177/031289629702200202     Document Type: Article

References (18)

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