THE DAILY DISTRIBUTION OF CHANGES IN THE PRICE OF STOCK INDEX FUTURES

被引：11

作者：

DYL, EA ^{[1
]}

MABERLY, ED ^{[1
]}

机构：

[1] UNIV WYOMING,BUSINESS ADM,CASPER,WY

来源：

JOURNAL OF FUTURES MARKETS | 1986年 / 6卷 / 04期

关键词：

D O I：

10.1002/fut.3990060402

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：513 / 521

页数：9

共 16 条

[1] PRICING OF COMMODITY CONTRACTS [J].

BLACK, F .

JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :167-179

[2] TAXES AND THE PRICING OF STOCK INDEX FUTURES [J].

CORNELL, B ;

FRENCH, KR .

JOURNAL OF FINANCE, 1983, 38 (03) :675-694

[3] THE PRICING OF STOCK INDEX FUTURES [J].

CORNELL, B ;

FRENCH, KR .

JOURNAL OF FUTURES MARKETS, 1983, 3 (01) :1-14

[4]

CORNELL B, 1985, J FINANCE, V40, P582

[5]

Cross F., 1973, FINANCIAL ANAL J, V29, P67, DOI [10.2469/faj.v29.n6.67, DOI 10.2469/FAJ.V29.N6.67]

[6] FUTURES TRADING AND INVESTOR RETURNS - INVESTIGATION OF COMMODITY MARKET RISK PREMIUMS [J].

DUSAK, K .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (06) :1387-1406

[7] STOCK RETURNS AND THE WEEKEND EFFECT [J].

FRENCH, KR .

JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (01) :55-69

[8]

FRENCH KR, 1986, UNPUB J FINANCIAL EC

[9] DAY OF THE WEEK EFFECTS AND ASSET RETURNS [J].

GIBBONS, MR ;

HESS, P .

JOURNAL OF BUSINESS, 1981, 54 (04) :579-596

[10] A TRANSACTION DATA STUDY OF WEEKLY AND INTRADAILY PATTERNS IN STOCK RETURNS [J].

HARRIS, L .

JOURNAL OF FINANCIAL ECONOMICS, 1986, 16 (01) :99-117

← 1 2 →