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Volumn 22, Issue 9, 2002, Pages 877-900

Pricing Efficiency of the S&P 500 Index Market: Evidence from the Standard & Poor's Depositary Receipts

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Indexed keywords


EID: 0346956908     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10037     Document Type: Article
Times cited : (27)

References (17)
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  • 2
    • 0042408009 scopus 로고    scopus 로고
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    • Ackert, L.F.1    Tian, Y.S.2
  • 3
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    • Price discovery on the S&P 500 index markets: An analysis of spot index, index futures, and SPDRS
    • Chu, Q. C., Hsieh, W. G., & Tse, Y. (1999). Price discovery on the S&P 500 index markets: An analysis of spot index, index futures, and SPDRS. International Review of Financial Analysis, 8, 21-34.
    • (1999) International Review of Financial Analysis , vol.8 , pp. 21-34
    • Chu, Q.C.1    Hsieh, W.G.2    Tse, Y.3
  • 4
    • 79959631052 scopus 로고
    • A transactions data test of stock index futures market efficiency and index arbitrage profitability
    • Chung, P. Y. (1991). A transactions data test of stock index futures market efficiency and index arbitrage profitability. Journal of Finance, 46, 1791-1809.
    • (1991) Journal of Finance , vol.46 , pp. 1791-1809
    • Chung, P.Y.1
  • 6
    • 0001729966 scopus 로고
    • Hedging performance and basis risk in stock index futures
    • Figlewski, S. (1984). Hedging performance and basis risk in stock index futures. Journal of Finance, 39, 657-669.
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    • Figlewski, S.1
  • 7
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    • The intraday ex post and ex ante profitability of index arbitrage
    • Klemkosky, R. C., & Lee, J. H. (1991). The intraday ex post and ex ante profitability of index arbitrage. The Journal of Futures Markets, 11, 291-311.
    • (1991) The Journal of Futures Markets , vol.11 , pp. 291-311
    • Klemkosky, R.C.1    Lee, J.H.2
  • 8
    • 84978549041 scopus 로고
    • Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects
    • Merrick, J. J. (1987). Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects. The Journal of Futures Markets, 7, 483-496.
    • (1987) The Journal of Futures Markets , vol.7 , pp. 483-496
    • Merrick, J.J.1
  • 9
    • 84978549453 scopus 로고
    • Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects
    • Merrick, J. J. (1989). Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects. The Journal of Futures Markets, 9, 101-111.
    • (1989) The Journal of Futures Markets , vol.9 , pp. 101-111
    • Merrick, J.J.1
  • 11
    • 84890648021 scopus 로고
    • The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence
    • Modest, D. M., & Sundaresan, M. (1983). The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence. The Journal of Futures Markets, 3, 15-41.
    • (1983) The Journal of Futures Markets , vol.3 , pp. 15-41
    • Modest, D.M.1    Sundaresan, M.2
  • 13
    • 84978553356 scopus 로고
    • Index participation units and the performance of index futures markets: Evidence from the Toronto35 index participation units market
    • Park, T. H., & Switzer, L. N. (1995). Index participation units and the performance of index futures markets: Evidence from the Toronto35 index participation units market. The Journal of Futures Markets, 15, 187-200.
    • (1995) The Journal of Futures Markets , vol.15 , pp. 187-200
    • Park, T.H.1    Switzer, L.N.2
  • 14
    • 84978598842 scopus 로고
    • Index futures, program trading, and stock market procedures
    • Stoll, H. R. (1988). Index futures, program trading, and stock market procedures. The Journal of Futures Markets, 8, 391-412.
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    • Stoll, H.R.1
  • 15
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    • (1987) Financial Analysts Journal , vol.43 , pp. 16-28
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    • Switzer, L. N., Varson, P. L., & Zghidi, S. (2000). Standard & Poor's depository receipts and the performance of the S&P 500 index futures market. The Journal of Futures Markets, 20, 705-716.
    • (2000) The Journal of Futures Markets , vol.20 , pp. 705-716
    • Switzer, L.N.1    Varson, P.L.2    Zghidi, S.3
  • 17
    • 0038383903 scopus 로고
    • Stock index futures mispricing: Profit opportunities or risk premia?
    • Yadav, P. K., & Pope, P. F. (1994). Stock index futures mispricing: Profit opportunities or risk premia? Journal of Banking and Finance, 18, 921-953.
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    • Yadav, P.K.1    Pope, P.F.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.