DYNAMIC EFFICIENCY AND PRICE LEADERSHIP IN STOCK INDEX CASH AND FUTURES MARKETS

被引:20
作者
SCHWARZ, TV [1 ]
LAATSCH, FE [1 ]
机构
[1] BOWLING GREEN STATE UNIV,FINANCE,BOWLING GREEN,OH 43403
关键词
D O I
10.1002/fut.3990110603
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
[No abstract available]
引用
收藏
页码:669 / 683
页数:15
相关论文
共 21 条
[1]  
AMIHUD Y, 1987, J FINANC, V42, P533
[2]   IMPLIED INTEREST-RATES [J].
BRENNER, M ;
GALAI, D .
JOURNAL OF BUSINESS, 1986, 59 (03) :493-507
[3]   HEDGING PERFORMANCE AND BASIS RISK IN STOCK INDEX FUTURES [J].
FIGLEWSKI, S .
JOURNAL OF FINANCE, 1984, 39 (03) :657-669
[4]  
FINNERTY J, 1987, FINANCIAL ANAL J MAR, P57
[5]   PRICE MOVEMENTS AND PRICE DISCOVERY IN FUTURES AND CASH MARKETS [J].
GARBADE, KD ;
SILBER, WL .
REVIEW OF ECONOMICS AND STATISTICS, 1983, 65 (02) :289-297
[6]  
GASTINEAU G, 1983, FINANCIAL ANAL J NOV, P68
[8]  
HARRIS L, 1989, J FINANC, V64, P77
[9]   INVESTIGATION OF A LEAD-LAG RELATIONSHIP BETWEEN SPOT STOCK INDEXES AND THEIR FUTURES CONTRACTS [J].
HERBST, AF ;
MCCORMACK, JP ;
WEST, EN .
JOURNAL OF FUTURES MARKETS, 1987, 7 (04) :373-381
[10]  
HESTON C, 1986, FUTURES JUN, P46