Search Results - subject:"futures mispricing"

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; … - 2025

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

Index futures mispricing : a multi-regime approach to the NIFTY 50 Index futures

Samarakoon, Kithsiri; Pradhan, Rudra Prakash - In: Managerial finance 50 (2024) 12, pp. 2091-2114

Persistent link: https://www.econbiz.de/10015199586

Index futures mispricing: a multi-regime approach to the NIFTY 50 Index futures

Samarakoon, Kithsiri; Pradhan, Rudra Prakash - In: Managerial Finance 50 (2024) 12, pp. 2091-2114

-regime model to understand the fluctuations in NIFTY 50 Index futures mispricing. Findings The study reveals a complex interplay … Regression (TVAR) models are deployed to disentangle the interrelationships between NIFTY 50 Index futures mispricing and related … endogenous determinants. Research highlights (1) This study investigates the Nifty 50 Index futures mispricing across three …

Persistent link: https://www.econbiz.de/10015353925

Financially constrained index futures arbitrage

Glover, Kristoffer; Hulley, Hardy - In: The journal of futures markets 42 (2022) 9, pp. 1688-1703

Persistent link: https://www.econbiz.de/10013465806

A DECOMPOSITION OF STOCK INDEX FUTURES MISPRICING AND THE PRICE EFFECT OF INDEX ARBITRAGE

Arjin, TUSHAJ; Valentina, SINAJ - In: Studies in Business and Economics 7 (2012) 2, pp. 184-196

The importance of the arbitrage theories and the notion of efficient evaluation for the usual market index give a strong motivation for an empirical analysis of the relationship between the current prices and lost future prices. This article developed an empirical system that attempts to...

Persistent link: https://www.econbiz.de/10010587898

Mispricing and trader positions in the S&P 500 index futures market

Lai, Ya-Wen; Lin, Chiou-Fa; Tang, Mei-Ling - In: The North American journal of economics and finance : a … 42 (2017), pp. 250-265

Persistent link: https://www.econbiz.de/10011938115

Market uncertainty, expected volatility and the mispricing of S&P 500 index futures

Tu, Anthony H.; Hsieh, Wen-Liang G.; Wu, Wei-Shao - In: Journal of empirical finance 35 (2016), pp. 78-98

Persistent link: https://www.econbiz.de/10011662722

Short sale and index futures mispricing : evidence from the Warsaw stock exchange

Marcinkiewicz, Edyta - In: Prague economic papers : a bimonthly journal of … 25 (2016) 5, pp. 547-559

Persistent link: https://www.econbiz.de/10011643624