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Closing call auctions at the index futures market

Hagströmer, Björn; Nordén, Lars - In: The journal of futures markets 34 (2014) 4, pp. 299-319

Persistent link: https://www.econbiz.de/10010355429

Does an index futures split enhance trading activity and hedging effectiveness of the futures contract?

Nordén, Lars - In: The journal of futures markets 26 (2006) 12, pp. 1169-1194

Persistent link: https://www.econbiz.de/10003392009

Hedging performance of the Swedish OMX stock index options : can the OMX-index be approximated by a portfolio of fewer stocks?

Nordén, Lars; Strömberg, Anders - 1995

Persistent link: https://www.econbiz.de/10000916218

Empirical evidence of biases in the black-scholes option pricing formula : a transactions data analysis of Swedish OMX-index call and put options

Hansson, Björn A.; Hördahl, Peter; Nordén, Lars - 1995

Persistent link: https://www.econbiz.de/10000921597

Stock index arbitrage profitability : a transactions data analysis of Swedish OMX-index cash and forward prices

Nordén, Lars - 1994

Persistent link: https://www.econbiz.de/10000897132

Trading and non-trading time return dynamics : an analysis of Swedih OMX stock index and forward returns using a GARCH framework

Hördahl, Peter; Nordén, Lars - 1996

Persistent link: https://www.econbiz.de/10000932356

Closing Call Auctions at the Index Futures Market

Hagströmer, Björn - 2012

This paper investigates how the introduction of a closing call auction in the OMXS 30 index futures market influences market quality and price accuracy. Index futures markets are characterized by traders with no or little private information. Limit order book models where trader patience (rather...

Persistent link: https://www.econbiz.de/10013115070