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Volumn 12, Issue 11, 2002, Pages 783-790

Inter-market spread trading: Evidence from UK index futures markets

Author keywords

[No Author keywords available]

Indexed keywords

MARKET CONDITIONS; PROFITABILITY; TRANSACTION COST;

EID: 30744439929     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603100110044236     Document Type: Article
Times cited : (24)

References (13)
  • 1
    • 84971844636 scopus 로고
    • Price volatility, trading volume and market depth: Evidence from futures markets
    • Bessembinder, H. and Seguin, P. (1993) Price volatility, trading volume and market depth: Evidence from futures markets, Journal of Financial and Quantitative Analysis, 29, 21-39.
    • (1993) Journal of Financial and Quantitative Analysis , vol.29 , pp. 21-39
    • Bessembinder, H.1    Seguin, P.2
  • 2
    • 84978580525 scopus 로고
    • The pricing and performance of stock index futures spreads
    • Billingsley, R. and Chance, D. (1988) The pricing and performance of stock index futures spreads, Journal of Futures Markets, 8, 303-18.
    • (1988) Journal of Futures Markets , vol.8 , pp. 303-318
    • Billingsley, R.1    Chance, D.2
  • 3
    • 0030558709 scopus 로고    scopus 로고
    • The dual listing of stock index futures: Arbitrage, spread arbitrage and currency risk
    • Board, J. and Sutcliffe, C. (1996) The dual listing of stock index futures: Arbitrage, spread arbitrage and currency risk, Journal of Futures Markets, 16, 29-54.
    • (1996) Journal of Futures Markets , vol.16 , pp. 29-54
    • Board, J.1    Sutcliffe, C.2
  • 5
    • 8644230477 scopus 로고    scopus 로고
    • Ex ante hedging effectiveness of stock index futures contracts: Evidence for the FTSE 100 and FTSE Mid 250 contracts
    • Butterworth, D. and Holmes, P. (2000) Ex ante hedging effectiveness of stock index futures contracts: Evidence for the FTSE 100 and FTSE Mid 250 contracts, European Financial Management, 6, 441-59.
    • (2000) European Financial Management , vol.6 , pp. 441-459
    • Butterworth, D.1    Holmes, P.2
  • 6
    • 79959631052 scopus 로고
    • A transactions data test of stock index futures market efficiency and index arbitrage profitability
    • Chung, Y. P. (1991) A transactions data test of stock index futures market efficiency and index arbitrage profitability, Journal of Finance, 46, 1791-809.
    • (1991) Journal of Finance , vol.46 , pp. 1791-1809
    • Chung, Y.P.1
  • 9
    • 0000619934 scopus 로고
    • Index futures arbirage and the behaviour of stock index futures prices
    • Mackinlay, C. and Ramaswamy, K. (1988) Index futures arbirage and the behaviour of stock index futures prices, Review of Financial Studies, 1, 137-58.
    • (1988) Review of Financial Studies , vol.1 , pp. 137-158
    • Mackinlay, C.1    Ramaswamy, K.2
  • 10
    • 84979416601 scopus 로고
    • Futures market liquidity and the technique of spreading
    • Meland, L. (1981) Futures market liquidity and the technique of spreading, Journal of Futures Markets, 1, 405-11.
    • (1981) Journal of Futures Markets , vol.1 , pp. 405-411
    • Meland, L.1
  • 12
    • 0000641188 scopus 로고
    • The theory of price of storage
    • Working, H. (1949) The theory of price of storage, American Economic Review, 39, 1254-62.
    • (1949) American Economic Review , vol.39 , pp. 1254-1262
    • Working, H.1
  • 13
    • 84978553630 scopus 로고
    • Stock index futures arbitrage: International evidence
    • Yadav, P. K. and Pope, P. F. (1990) Stock index futures arbitrage: international evidence, Journal of Futures Markets, 10, 573-604.
    • (1990) Journal of Futures Markets , vol.10 , pp. 573-604
    • Yadav, P.K.1    Pope, P.F.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.