On the predictive role of large futures trades for S&P500 index returns : an analysis of COT data as an informative trading signal
Haojun Chen; Daniela Maher
| Year of publication: |
2013
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|---|---|
| Authors: | Chen, Haojun ; Maher, Daniela |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 27.2013, p. 177-201
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| Subject: | Institutional traders | S&P500 futures | Open interest | COT report | Market efficiency | Effizienzmarkthypothese | Efficient market hypothesis | Aktienindex | Stock index | Derivat | Derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010411744