Trading costs and price discovery across stock index futures and cash markets
Article Abstract:
Intraday price leadership across the S&P 500, NYSE Composite and the Major Market Index (MMI) and across respective cash indexes have been studied using a vector autoregressive model. Impulse response functions have been calculated to show how innovation in one market transfers to other markets. Results indicate that the S&P 500 maintains price leadership over the other index futures while the MMI leads in the cash index. These findings agree with the trading cost hypothesis.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1999
User Contributions:
Comment about this article or add new information about this topic:
Back to the future: in a future dcredit default swap index futures market
Article Abstract:
The margins of porfits earned by stock traders in futures trading in the Swedish stock markets are discussed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Cash Settlement of Futures Contracts: An Economic Analysis. Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: reply
- Abstracts: Hedging Performance of GNMA Futures under Rising and Falling Interest Rates. Allocating Nonreported Futures Commitments
- Abstracts: Hedging Performance of GNMA Futures under Rising and Falling Interest Rates. part 2 Reply to "A comment on 'A hedging deficiency in eurodollar futures' "
- Abstracts: A multinational examination of international equity and bond investment with currency hedging