Search Results - subject:"Index-Futures"

Index futures mispricing : a global phenomenon? ; a comparative analysis of market dynamics

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - In: Borsa Istanbul Review 25 (2025) 6, pp. 1234-1269

This study investigates the mispricing dynamics of index futures across global markets using Vector Autoregressive (VAR …) and Autoregressive with Exogenous Variables (ARX) models. Analyzing daily data from 2006 to 2023 for 16 index futures …

Persistent link: https://www.econbiz.de/10015551350

Hedging downside risk for REITs

Zhou, Jian - In: The North American journal of economics and finance : a … 79 (2025), pp. 1-14

Persistent link: https://www.econbiz.de/10015435489

Does asynchronous market update matter? : re-examining the price discovery of stock index and futures in China

Han, Qian; Zhao, Chengzhi; Chen, Jing; Guo, Qian - In: Emerging markets review 67 (2025), pp. 1-25

Persistent link: https://www.econbiz.de/10015412163

Spatial linkages of positive feedback trading among the stock index futures markets

Tian, Shuxi; Liu, Shuyi; Mu, Lijie - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10015359879

Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-45

Persistent link: https://www.econbiz.de/10015371777

Price dislocations : insights from trade repository data

Menkveld, Albert J.; Saru, Ion Lucas; Yu, Shihao - 2025

This paper identifies price dislocation events in EuroSTOXX 50 futures, i.e., periods marked by high absolute returns. Combining public limit order book data with confidential trade repository data collected under the European Market Infrastructure Regulation (EMIR), we analyze market conditions...

Persistent link: https://www.econbiz.de/10015550399

Stochastic arbitrage with market index options

Beare, Brendan K.; Seo, Juwon; Zheng, Zhongxi - In: Journal of banking and finance 173 (2025), pp. 1-12

Persistent link: https://www.econbiz.de/10015558576

The stock market impact of volatility hedging : evidence from end-of-day trading by VIX ETPs

Bangsgaard, Christine; Kokholm, Thomas - In: Journal of banking and finance 180 (2025), pp. 1-27

Persistent link: https://www.econbiz.de/10015558925

Passive investing, active decisions : the DAX index inclusion effect

Bektic, Demir; Khan, Asad; Körber, Lukas - In: Review of financial economics : RFE 43 (2025) 3, pp. 286-296

Persistent link: https://www.econbiz.de/10015460576

Joint implied willow tree : an approach for joint S&P 500/VIX calibration

Dong, Bing; Xu, Wei; Cui, Zhenyu - In: The journal of futures markets 45 (2025) 6, pp. 547-568

Persistent link: https://www.econbiz.de/10015464822