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Dynamic efficiency and price leadership in stock index cash and futures markets

Schwarz, Thomas V. - In: The journal of futures markets 11 (1991) 6, pp. 669-683

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New trading practices and short-run market efficiency

Froot, Kenneth - In: The journal of futures markets 15 (1995) 7, pp. 731-765

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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

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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

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Stock market anomalies, market efficiency and the adaptive market hypothesis : evidence from Islamic stock indices

Al-Khazali, Osamah; Mirzaei, Ali - In: Journal of international financial markets, … 51 (2017), pp. 190-208

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A multidimensional classification of market anomalies : evidence from 76 price indices

Doyle, John R.; Chen, Catherine Huirong - In: Journal of international financial markets, … 22 (2012) 5, pp. 1237-1257

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On the predictive role of large futures trades for S&P500 index returns : an analysis of COT data as an informative trading signal

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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

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Three major crises and Asian emerging market informational efficiency : a case of Pakistan Stock Exchange-100 Index

Said, Bahrawar; Shafiq ur Rehman; Raza, Muhammad Wajid - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-13

Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...

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A new methodology for studying intraday dynamics of Nikkei index futures using Markov chains

Shiyun, Wang; Lim, Kian-Guan; Chang, Carolyn - In: Journal of international financial markets, … 9 (1999) 3, pp. 247-265

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