Restrictions on short-selling and spot-futures dynamics

Journal of Business Finance and Accounting

Volumn 26, Issue 1-2, 1999, Pages 227-248

  Joseph, K W Fung ^a   Li, Jiang ^a  

^a HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039152584     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.00254     Document Type: Article

References (17)

1. Chan, K. (1992), 'A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market', Review of Financial Studies, Vol. 5, pp. 123-52.
2. Cornell, B. and K.R. French (1983), 'Taxes and the Pricing of Stock Index Futures', Journal of Finance, Vol. 38, pp. 675-94.
3. Engle, R.F. and C.W.J. Granger (1987), 'Co-integration and Error Correction, Representation, Estimation, and Testing', Econometrica, Vol. 55, pp. 251-76.
4. Figlewski, S. (1984), 'Explaining the Early Discounts on Stock Index Futures, The Case for Disequilibrium', Financial Analysts Journal (July-August ), pp. 43-67.
5. Garbade, K.D. and W.L. Silber (1983), 'Price Movements and Price Discovery in Futures and Cash Markets', Review of Economics and Statistics, Vol. 65, pp. 289-97.
6. Kawaller, K.G. (1987), 'A Note, Debunking the Myth of the Risk-Free Return', The Journal of Futures Markets, Vol. 7, pp. 327-31.
7. Keynes, J.M. (1930), A Treatise on Money (London, Macmillan).
8. Klemkosky, R.C. and J.H. Lee (1991), 'The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage', Journal of Futures Markets, Vol. 11, pp. 291-311.
9. Kolb, R.W. (1992), 'Is Normal Backwardation Normal?', Journal of Futures Markets, Vol. 12, pp. 75-91.
10. Modest, D.M. and M. Sundaresan (1983), 'The Relationship between Spot and Futures Prices in Stock Index Futures Markets, Some Preliminary Evidence', The Journal of Futures Markets, Vol. 3, pp. 15-41.
11. Pope, P.F. and P.K. Yadav (1994), 'The Impact of Short Sales Constraints on Stock Index Futures Prices: Evidence from FT-SE 100 Futures', Journal of Derivatives, pp. 15-26.
12. Puttonen, V. (1993), 'Short Sales Restrictions and the Temporal Relationship between Stock Index Cash and Derivatives Markets', Journal of Futures Markets, Vol. 13, pp. 645-64.
13. Schwarz, T.V. and F.E. Laatsch (1991), 'Dynamic Efficiency and Price Leadership in Stock Index Cash and Futures Markets', Journal of Futures Markets, Vol. 11, pp. 669-83.
14. Stoll, H.R. and R.E. Whaley (1990), 'The Dynamics of Stock Index and Stock Index Futures Returns', Journal of Financial and Quantitative Analysis, Vol. 25, pp. 441-68.
15. Subrahmanyam, A. (1991), 'A Theory of Trading in Stock Index Futures', Review of Financial Studies, Vol. 4, pp. 17-51.
16. Wahab, M. and M. Lashgari (1993), 'Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets, A Co-integration Approach', Journal of Futures Markets, Vol. 13, pp. 711-42.
17. Yadav, P.K. and P.F. Pope (1994), 'Stock Index Futures Mispricing: Profit Opportunities or Risk Premia?', Journal of Banking and Finance, Vol. 18, pp. 921-53.