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The efficiency of spot and futures stock indices : a survey based perspective
MacDonald, Ronald - In: Review of futures markets 12 (1994) 1, pp. 431-454
Persistent link: https://www.econbiz.de/10001183584
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New Trading Practices and Short-Run Market Efficiency
Froot, Kenneth; Perold, André - 2021
We document a large decrease in autocorrelation and increase in variance of recent short-run returns on several broad stock market indexes, over the 1983-89 period, 15-minute returns went from being highly positively serially correlated to practically uncorrelated. Over the past twenty years,...
Persistent link: https://www.econbiz.de/10013218423
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New Trading Practices and Short-run Market Efficiency
Froot, Kenneth A. - 1990
We document a large decrease in autocorrelation and increase in variance of recent short-run returns on several broad stock market indexes, over the 1983-89 period, 15-minute returns went from being highly positively serially correlated to practically uncorrelated. Over the past twenty years,...
Persistent link: https://www.econbiz.de/10012475529
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New trading practices and short-run market efficiency
Froot, Kenneth; Perold, André F. - 1990
Persistent link: https://www.econbiz.de/10000803328
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Identifying the Effect of Stock Indexing : Impetus or Impediment to Arbitrage and Price Discovery?
Ahn, Byung Hyun; Patatoukas, Panos N. - 2021
The rise of stock indexing has raised concerns that index investing impedes arbitrage and degrades price discovery …. This paper uses Russell’s reconstitution to identify the causal effect of index investing on information arbitrage and … for micro-cap stocks. Our causal evidence identifies the relaxation of arbitrage constraints as a mechanism through which …
Persistent link: https://www.econbiz.de/10013245002
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Identifying the effect of stock indexing : impetus or impediment to arbitrage and price discovery?
Ahn, Byung Hyun; Patatoukas, Panos N. - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 5, pp. 2022-2062
Persistent link: https://www.econbiz.de/10013367056
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A comparative study of the US and Mexican stock market interdependence
Wong, Kwokfai M. - In: Journal of global business : JGB ; journal of the … 6 (1995) 11, pp. 15-22
Persistent link: https://www.econbiz.de/10001193191
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Threshold non-linear dynamics between Hang Seng stock index and futures returns
Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: The European journal of finance 17 (2011) 7/8, pp. 471-486
Persistent link: https://www.econbiz.de/10009509864
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Examining the impact of index futures on information efficiency of stock market : evidence from US, Japan, Hong Kong and India
Chai, Shanglei - In: International journal of economics and finance 7 (2015) 8, pp. 218-228
Persistent link: https://www.econbiz.de/10011346849
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Indexing and Stock Price Efficiency
Qin, Nan - 2016
stock prices from the random walk. We conjecture that reduced incentives for information acquisition and arbitrage induced …
Persistent link: https://www.econbiz.de/10013007632