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Efficient market hypothesis
58
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17
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The journal of futures markets
Finance research letters
101
International review of financial analysis
101
Journal of banking & finance
98
NBER working paper series
94
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86
Working paper / National Bureau of Economic Research, Inc.
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48
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1
Futures trading costs and market microstructure invariance : identifying bet activity
Hou, Ai Jun
;
Nordén, Lars L.
;
Xu, Caihong
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 901-922
Persistent link: https://www.econbiz.de/10014536704
Saved in:
2
Nonlinear limits to arbitrage
Chen, Jingzhi
;
Cai, Charlie X.
;
Faff, Robert W.
;
Shin, …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1084-1113
Persistent link: https://www.econbiz.de/10013287917
Saved in:
3
Hedging commodities in times of distress : the case of COVID-19
Magalhães, Luiz Augusto
;
Silva, Thiago Christiano
; …
- In:
The journal of futures markets
42
(
2022
)
10
,
pp. 1941-1959
Persistent link: https://www.econbiz.de/10013465831
Saved in:
4
Changes in the options contract size and arbitrage opportunities
Song, Joonhyuk
;
Ryu, Doojin
;
Yu, Jinyoung
- In:
The journal of futures markets
43
(
2023
)
1
,
pp. 122-137
Persistent link: https://www.econbiz.de/10013465898
Saved in:
5
Connectivity costs and price efficiency : an event study
Frino, Alex
;
Kovacevic, Ognjen
;
Mollica, Vito
;
Webb, …
- In:
The journal of futures markets
42
(
2022
)
2
,
pp. 296-309
Persistent link: https://www.econbiz.de/10012817888
Saved in:
6
Market inefficiencies surrounding energy announcements
Alturki, Sultan
;
Kurov, Alexander
- In:
The journal of futures markets
42
(
2022
)
1
,
pp. 172-188
Persistent link: https://www.econbiz.de/10012796302
Saved in:
7
The impact of high speed quoting on execution risk dynamics : evidence from interest rate futures markets
Nie, Jing
;
Penen Malagon, Juliana
;
Williams, Julian
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1434-1465
Persistent link: https://www.econbiz.de/10013287987
Saved in:
8
Forecasting high-yield equity and CDS index returns : does observed cross-market informational flow have predictive power?
Procasky, William J.
;
Yin, Anwen
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1466-1490
Persistent link: https://www.econbiz.de/10013287989
Saved in:
9
Volatility model applications in China's SSE50 options market
Chi, Yeguang
;
Hao, Wenyan
;
Zhang, Yifei
- In:
The journal of futures markets
42
(
2022
)
9
,
pp. 1704-1720
Persistent link: https://www.econbiz.de/10013465807
Saved in:
10
Fat-finger trade and market quality : the first evidence from China
Gao, Ming
;
Liu, Yu-jane
;
Wu, Weili
- In:
The journal of futures markets
36
(
2016
)
10
,
pp. 1014-1025
Persistent link: https://www.econbiz.de/10011568867
Saved in:
11
A factor analytical approach to the efficient futures market hypothesis
Westerlund, Joakim
;
Norkute, Milda
;
Narayan, Paresh Kumar
- In:
The journal of futures markets
35
(
2015
)
4
,
pp. 357-370
Persistent link: https://www.econbiz.de/10011348416
Saved in:
12
Is the KOSPI 200 options market efficient? : parametric and nonparametric tests of the Martingale restriction
Guo, Biao
;
Han, Qian
;
Ryu, Doojin
- In:
The journal of futures markets
33
(
2013
)
7
,
pp. 629-652
Persistent link: https://www.econbiz.de/10009756544
Saved in:
13
Testing the efficient market hypothesis in conditionally heteroskedastic futures markets
Westerlund, Joakim
;
Narayan, Paresh Kumar
- In:
The journal of futures markets
33
(
2013
)
11
,
pp. 1024-1045
Persistent link: https://www.econbiz.de/10010255105
Saved in:
14
No chills or burns from temperature surprises : an empirical analysis of the weather derivatives market
Chincarini, Ludwig Boris
- In:
The journal of futures markets
31
(
2011
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10008908413
Saved in:
15
Market efficiency among futures with different maturities : evidence from the crude oil futures market
Kawamoto, Kaoru
;
Hamori, Shigeyuki
- In:
The journal of futures markets
31
(
2011
)
5
,
pp. 487-501
Persistent link: https://www.econbiz.de/10009009222
Saved in:
16
The information flow and market efficiency between th US and Chinese aluminium and copper futures markets
Fung, Hung-gay
;
Liu, Qingfeng Wilson
;
Tse, Yiuman
- In:
The journal of futures markets
30
(
2010
)
12
,
pp. 1192-1209
Persistent link: https://www.econbiz.de/10008901289
Saved in:
17
Tick size reduction, execution costs, and informational efficiency in the regular and E-mini Nasdaq-100 index futures markets
Kurov, Alexander
- In:
The journal of futures markets
28
(
2008
)
9
,
pp. 871-888
Persistent link: https://www.econbiz.de/10003746360
Saved in:
18
Cross-market efficiency in the Indian derivatives market : a test of put-call parity
Vipul
- In:
The journal of futures markets
28
(
2008
)
9
,
pp. 889-910
Persistent link: https://www.econbiz.de/10003746363
Saved in:
19
Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets
Switzer, Lorne N.
;
El-Khoury, Mario
- In:
The journal of futures markets
27
(
2007
)
1
,
pp. 61-84
Persistent link: https://www.econbiz.de/10003492999
Saved in:
20
Bias and backwardation in natural gas futures prices
Movassagh, Nahid
;
Modjtahedi, Bagher
- In:
The journal of futures markets
25
(
2005
)
3
,
pp. 281-308
Persistent link: https://www.econbiz.de/10002647735
Saved in:
21
Futures trading, spot market volatility, and market efficiency : the case of the Korean index futures markets
Bae, Sung-chul
;
Know, Taek Ho
;
Park, Jong Won
- In:
The journal of futures markets
24
(
2004
)
12
,
pp. 1195-1228
Persistent link: https://www.econbiz.de/10002428805
Saved in:
22
The index futures markets : Is screen trading more efficient?
Copeland, Laurence S.
;
Lam, Kin
;
Jones, Sally-Ann
- In:
The journal of futures markets
24
(
2004
)
4
,
pp. 337-357
Persistent link: https://www.econbiz.de/10002005362
Saved in:
23
Rational expectations and market efficiency in the U.S live cattle futures market : the role of proprietary information
Schaefer, Matthew P.
;
Myers, Robert J.
;
Koontz, Stephen R.
- In:
The journal of futures markets
24
(
2004
)
5
,
pp. 429-451
Persistent link: https://www.econbiz.de/10002012483
Saved in:
24
Pricing efficiency of the S&P 500 index market : evidence from the Standard & Poor's Depositary Receipts
Chu, Quentin C.
;
Hsieh, Wen-Liang Gideon
- In:
The journal of futures markets
22
(
2002
)
9
,
pp. 877-900
Persistent link: https://www.econbiz.de/10001696690
Saved in:
25
A study of abitrage efficiency between the FTSE-100 Index futures and options contracts
Draper, Paul R.
;
Fung, Joseph K. W.
- In:
The journal of futures markets
22
(
2002
)
1
,
pp. 31-58
Persistent link: https://www.econbiz.de/10001646594
Saved in:
26
An empirical analysis of the efficiency of the Osaka rice market during Japan's Tokugawa era
Hamori, Shigeyuki
;
Hamori, Naoko
;
Anderson, David A.
- In:
The journal of futures markets
21
(
2001
)
9
,
pp. 861-874
Persistent link: https://www.econbiz.de/10001595314
Saved in:
27
Natural selection and market efficiency in a futures market with random shocks
Luo, Guo Ying
- In:
The journal of futures markets
21
(
2001
)
6
,
pp. 489-516
Persistent link: https://www.econbiz.de/10001579719
Saved in:
28
Lower-boundary violations and market efficiency : evidence from the German DAX-index options markets
Mittnik, Stefan
;
Rieken, Sascha
- In:
The journal of futures markets
20
(
2000
)
5
,
pp. 405-424
Persistent link: https://www.econbiz.de/10001500108
Saved in:
29
Standard and Poor's depository receipts and the performance of the S&P 500 index futures market
Switzer, Lorne N.
;
Varson, Paula L.
;
Zghidi, Samia
- In:
The journal of futures markets
20
(
2000
)
8
,
pp. 705-716
Persistent link: https://www.econbiz.de/10001523752
Saved in:
30
Is the Australian wool futures market efficient as a predictor of spot prices ?
Graham-Higgs, Jeremy
;
Rambaldi, Alicia N.
;
Davidson, …
- In:
The journal of futures markets
19
(
1999
)
5
,
pp. 565-582
Persistent link: https://www.econbiz.de/10001410432
Saved in:
31
A reappraisal of the performance of corn and soybean new crop futures
Zulauf, Carl R.
(
contributor
)
- In:
The journal of futures markets
19
(
1999
)
5
,
pp. 603-618
Persistent link: https://www.econbiz.de/10001410437
Saved in:
32
A further look at transaction costs, short sale restrictions, and futures market efficiency : the case of Korean stock index futures
Gay, Gerald D.
;
Jung, Dae Y.
- In:
The journal of futures markets
19
(
1999
)
2
,
pp. 153-174
Persistent link: https://www.econbiz.de/10001369626
Saved in:
33
Efficiency tests in the Spanish futures markets
Lee, Chun I.
;
Mathur, Ike
- In:
The journal of futures markets
19
(
1999
)
1
,
pp. 59 -77
Persistent link: https://www.econbiz.de/10001377560
Saved in:
34
The forward pricing function of the shipping freight futures market
Kavussanos, Manolis G.
;
Nomikos, Nikos K.
- In:
The journal of futures markets
19
(
1999
)
3
,
pp. 353-376
Persistent link: https://www.econbiz.de/10001378063
Saved in:
35
The relative efficiency of commodity futures markets
Kellard, Neil
(
contributor
)
- In:
The journal of futures markets
19
(
1999
)
4
,
pp. 413-432
Persistent link: https://www.econbiz.de/10001378173
Saved in:
36
Regime switching and cointegration tests of the efficiency of futures markets
Chow, Ying-Foon
- In:
The journal of futures markets
18
(
1998
)
8
,
pp. 871-901
Persistent link: https://www.econbiz.de/10001352412
Saved in:
37
Noninformative and informative tests of efficiency in three energy futures markets
Peroni, Emilio
;
McNown, Robert F.
- In:
The journal of futures markets
18
(
1998
)
8
,
pp. 939-964
Persistent link: https://www.econbiz.de/10001352418
Saved in:
38
Return-volume dynamics in futures markets
Kocagil, Ahmet Enis
- In:
The journal of futures markets
18
(
1998
)
4
,
pp. 399-426
Persistent link: https://www.econbiz.de/10001242640
Saved in:
39
An examination of the relationship between stock index cash and futures markets : a cointegration approach
Pizzi, Michael A.
- In:
The journal of futures markets
18
(
1998
)
3
,
pp. 297-305
Persistent link: https://www.econbiz.de/10001242653
Saved in:
40
Price limits, overreaction, and price resolution in futures markets
Chen, Haiwei
- In:
The journal of futures markets
18
(
1998
)
3
,
pp. 243-263
Persistent link: https://www.econbiz.de/10001242655
Saved in:
41
Is after-hours trading informative?
Ulibarrí, Carlos A.
- In:
The journal of futures markets
18
(
1998
)
5
,
pp. 563-579
Persistent link: https://www.econbiz.de/10001247303
Saved in:
42
Linear dependence, nonlinear dependence and petroleum futures market efficiency
Fujihara, Roger Arnold
- In:
The journal of futures markets
17
(
1997
)
1
,
pp. 75-99
Persistent link: https://www.econbiz.de/10001216341
Saved in:
43
Searching for fractal structure in agricultural futures markets
Corazza, Marco
- In:
The journal of futures markets
17
(
1997
)
4
,
pp. 433-473
Persistent link: https://www.econbiz.de/10001221141
Saved in:
44
The intraday pricing efficiency of Hong Kong Hang Seng Index options and futures markets
Fung, Joseph K. W.
- In:
The journal of futures markets
17
(
1997
)
7
,
pp. 797-815
Persistent link: https://www.econbiz.de/10001228464
Saved in:
45
Macroeconomic news and the efficiency of international bond futures markets
Becker, Kent Gregory
- In:
The journal of futures markets
16
(
1996
)
2
,
pp. 131-145
Persistent link: https://www.econbiz.de/10001198885
Saved in:
46
Trading costs and the relative rates of price discovery in stock, futures, and option markets
Fleming, Jeff
- In:
The journal of futures markets
16
(
1996
)
4
,
pp. 353-387
Persistent link: https://www.econbiz.de/10001198895
Saved in:
47
A trading simulation test for weak-form efficiency in live cattle futures
Kastens, Terry L.
- In:
The journal of futures markets
15
(
1995
)
6
,
pp. 649-675
Persistent link: https://www.econbiz.de/10001186692
Saved in:
48
New trading practices and short-run market efficiency
Froot, Kenneth
- In:
The journal of futures markets
15
(
1995
)
7
,
pp. 731-765
Persistent link: https://www.econbiz.de/10001190089
Saved in:
49
A reexamination of put-call parity on index futures
Sternberg, Joel S.
- In:
The journal of futures markets
14
(
1994
)
1
,
pp. 79-101
Persistent link: https://www.econbiz.de/10001169806
Saved in:
50
The gold-silver spread : integration, cointegration, predictability, and ex-ante arbitrage
Wahab, Mamoud S.
- In:
The journal of futures markets
14
(
1994
)
6
,
pp. 709-756
Persistent link: https://www.econbiz.de/10001171297
Saved in:
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