메뉴 건너뛰기




Volumn 4, Issue 4, 1998, Pages 349-355

Market efficiency in the Spanish derivatives markets: An empirical analysis

Author keywords

[No Author keywords available]

Indexed keywords


EID: 6444225274     PISSN: 10830898     EISSN: 1573966X     Source Type: Journal    
DOI: 10.1007/BF02295688     Document Type: Article
Times cited : (11)

References (13)
  • 1
    • 84862607910 scopus 로고    scopus 로고
    • Does the stock index futures market tend to lead the cash market? New evidence from the FT-SE 100 stock index futures markets
    • Accountancy and Finance Department, University of Stirling, United Kingdom
    • Abhyandar, A. "Does the Stock Index Futures Market Tend to Lead the Cash Market? New Evidence from the FT-SE 100 Stock Index Futures Markets," working paper 96-101, Accountancy and Finance Department, University of Stirling, United Kingdom, 1996.
    • (1996) Working Paper , pp. 96-101
    • Abhyandar, A.1
  • 2
    • 84978549686 scopus 로고
    • Return and volatility dynamics in the FT-SE 100 stock index futures markets
    • -. "Return and Volatility Dynamics in the FT-SE 100 Stock Index Futures Markets, "Journal of Futures Markets, 15, 1995, pp. 457-488
    • (1995) Journal of Futures Markets , vol.15 , pp. 457-488
  • 4
    • 0001559684 scopus 로고
    • A further analysis of the lead-lag relationship between the cash market and the stock index futures markets
    • Chang, K. "A Further Analysis of the Lead-Lag Relationship Between the Cash Market and the Stock Index Futures Markets," Review of Financial Studies, 5, 1992, pp. 123-152
    • (1992) Review of Financial Studies , vol.5 , pp. 123-152
    • Chang, K.1
  • 5
    • 75849120276 scopus 로고    scopus 로고
    • Estudio de las relaciones entre el contrato de futuros sobre el IBEX-35 y su activo subyacente
    • Climent, F. J.; Pardo, A. "Estudio de las relaciones entre el contrato de futuros sobre el IBEX-35 y su activo subyacente," working paper WP-EC96-13, IVIE, 1996.
    • (1996) Working Paper WP-EC96-13, IVIE
    • Climent, F.J.1    Pardo, A.2
  • 6
    • 84978551252 scopus 로고
    • The informational role of end-of-the-day returns in stock index futures
    • Herbst, A. F.; Maberly, E. D. " The Informational Role of End-of-the-Day Returns in Stock Index Futures," Journal of Futures Markets, 12, 1992, pp. 595-601.
    • (1992) Journal of Futures Markets , vol.12 , pp. 595-601
    • Herbst, A.F.1    Maberly, E.D.2
  • 7
    • 75849123974 scopus 로고
    • Intraday patterns in related markets: Futures and cash prices
    • Hodgson, A.; Kending, C; Tahir, M. "Intraday Patterns in Related Markets: Futures and Cash Prices," Accounting Research Journal, 6, 1993, pp. 36-50.
    • (1993) Accounting Research Journal , vol.6 , pp. 36-50
    • Hodgson, A.1    Kending, C.2    Tahir, M.3
  • 8
    • 75849119255 scopus 로고    scopus 로고
    • Multivariate information dynamics between prices and futures trading volume
    • School of Accounting and Finance, Griffith University
    • Hodgson, A.; Masih, A; Masih, R. "Multivariate Information Dynamics Between Prices and Futures Trading Volume," working paper, School of Accounting and Finance, Griffith University, 1996.
    • (1996) Working Paper
    • Hodgson, A.1    Masih, A.2    Masih, R.3
  • 9
  • 10
    • 44049117018 scopus 로고
    • Testing structural hypothesis in a multivariate cointegration analysis of PPP and the UIP for the UK
    • Johansen, S.; Juselius, K. "Testing Structural Hypothesis in a Multivariate Cointegration Analysis of PPP and the UIP for the UK," Journal of Econometrics, 53, 1992, pp. 211-244
    • (1992) Journal of Econometrics , vol.53 , pp. 211-244
    • Johansen, S.1    Juselius, K.2
  • 11
    • 84977712229 scopus 로고
    • The temporal price relationship between S and P 500 futures and the S and P index
    • Kawaller, I. G.; Koch, P. D.; Koch T. W. "The Temporal Price Relationship Between S and P 500 Futures and the S and P Index," The Journal of Finance, 5, 1987, pp. 1309-1330
    • (1987) The Journal of Finance , vol.5 , pp. 1309-1330
    • Kawaller, I.G.1    Koch, P.D.2    Koch, T.W.3
  • 13
    • 0000095552 scopus 로고
    • A heteroskedastic-consistent covariance matrix estimator and a direct test for heteroskedasticity
    • White, H. "A Heteroskedastic-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, 48, 1980, pp. 817-838
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.