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Year of publication
Subject
All
Index-Futures 43 Stock index futures 43 Index futures 42 stock index futures 34 Aktienindex-Futures 29 Börsenkurs 20 Share price 20 Aktienindex 18 Stock index 16 Volatility 14 Volatilität 14 Derivat 12 Derivative 12 Hedging 10 Theorie 10 Theory 10 ARCH-Modell 9 Stock Index Futures 9 ARCH model 8 Portfolio selection 8 Portfolio-Management 8 Aktienmarkt 7 China 7 Stock market 7 Arbitrage 6 Price discovery 6 stock exchange 6 Estimation 5 Schätzung 5 bond 5 bond market 5 corporate bonds 5 derivative 5 equity market 5 equity markets 5 financial institutions 5 financial intermediation 5 financial market 5 financial markets 5 government bonds 5
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Online availability
All
Undetermined 39 Free 35
Type of publication
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Article 59 Book / Working Paper 58 Other 3
Type of publication (narrower categories)
All
Article in journal 37 Aufsatz in Zeitschrift 37 Hochschulschrift 11 Thesis 9 Dissertation u.a. Prüfungsschriften 8 Working Paper 6 Graue Literatur 5 Non-commercial literature 5 Bibliografie enthalten 4 Bibliography included 4 Arbeitspapier 3 Article 2 Bibliographie 1 Conference paper 1 Forschungsbericht 1 Konferenzbeitrag 1 Mikroform 1
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Language
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English 71 Undetermined 32 German 18
Author
All
Xiong, Xiong 8 Zhang, Wei 5 Greppmair, Stefan 3 Kistowski, Jesco von 3 Li, Zhihui 3 Lu, Xinsheng 3 Shi, Lei 3 Theissen, Erik 3 Tian, Jie 3 Wei, Lijian 3 Wiebke, Harald 3 Zhou, Ying 3 Albrecht, Rainer 2 Bamberg, Günter 2 Bohl, Martin T. 2 Booth, G. Geoffrey 2 Chen, Ming-Hsien 2 Cui, Yian 2 Dubacher, René 2 Gastineau, Gary L. 2 Gießelbach, Axel 2 He, Feng 2 He, Shaoyi 2 Hsu, Philip 2 Jobst, Andreas 2 Lechman, Ewa 2 Liu, Jun 2 Marszk, Adam 2 Martikainen, Teppo 2 Neubauer, Andreas 2 Redanz, Ulf 2 Rossi, Eduardo 2 Röder, Klaus 2 Salm, Christian A. 2 Sebastião, Helder 2 Sun, Bianxia 2 Tilakaratne, Chandima 2 Wilfling, Bernd 2 Wong, Wing Keung 2 Yan, Xiaocong 2
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Institution
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International Monetary Fund (IMF) 6 Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 2 Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia 2 International Monetary Fund 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Faculty of Business, Auckland University of Technology 1 Finance Discipline Group, Business School 1 Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg> 1 School of Economics and Management, University of Aarhus 1 eSocialSciences 1
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Published in...
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Europäische Hochschulschriften / 5 5 IMF Working Papers 4 International journal of economics and finance 3 Arbeitspapiere zur mathematischen Wirtschaftsforschung 2 Asia-Pacific journal of financial studies 2 Australian Journal of Management 2 CQE Working Papers 2 DUV / Wirtschaftswissenschaft 2 Emerging markets, finance and trade : EMFT 2 Finance research letters 2 GEMF Working Papers 2 IMF Staff Country Reports 2 International review of economics & finance : IREF 2 International review of financial analysis 2 MPRA Paper 2 Management Science 2 Research in international business and finance 2 Review of Pacific Basin financial markets and policies 2 Schriftenreihe des Instituts für Geld- und Kapitalverkehr der Universität Hamburg 2 The European Journal of Finance 2 Untersuchungen über das Spar-, Giro- und Kreditwesen / A 2 Accounting and finance : journal of the Accounting Association of Australia and New Zealand 1 Annals of Faculty of Economics 1 Asia-Pacific Financial Markets 1 Bank- und finanzwirtschaftliche Forschungen 1 Beiträge zur Wertpapieranalyse 1 CFR Working Paper 1 CREATES Research Papers 1 Economic systems 1 Economics Working Paper Series 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 1 Financial Innovation 1 Financial innovation : FIN 1 Global economy journal : GEJ 1 Innovative economics textbooks 1 International journal of banking, accounting and finance : IJBAAF 1 International journal of economics and financial issues : IJEFI 1 International journal of finance & economics : IJFE 1 Investment management and financial innovations 1
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Source
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ECONIS (ZBW) 54 RePEc 33 USB Cologne (EcoSocSci) 20 BASE 8 EconStor 5
Showing 1 - 50 of 120
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On the effectiveness of stock index futures for tail risk protection
Zouari, Hammadi - In: International journal of economics and financial issues … 12 (2022) 3, pp. 38-52
Persistent link: https://ebtypo.dmz1.zbw/10013259361
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Cost-benefit analysis of trading strategies in the stock index futures market
Xiong, Xiong; Cui, Yian; Yan, Xiaocong; Liu, Jun; He, Shaoyi - In: Financial Innovation 6 (2020) 1, pp. 1-17
With the introduction of many derivatives into the capital market, including stock index futures, the trading strategies in financial markets have been gradually enriched. However, there is still no theoretical model that can determine whether these strategies are effective, what the risks are,...
Persistent link: https://ebtypo.dmz1.zbw/10012602868
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Application of diffusion models in the analysis of financial markets: Evidence on exchange traded funds in Europe
Marszk, Adam; Lechman, Ewa - In: Risks 8 (2020) 1, pp. 1-23
Exchange traded funds (ETFs) are financial innovations that may be considered as a part of the index financial instruments category, together with stock index derivatives. The aim of this paper is to explore the trajectories and formulates predictions regarding the spread of ETFs on the...
Persistent link: https://ebtypo.dmz1.zbw/10013200553
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Cost-benefit analysis of trading strategies in the stock index futures market
Xiong, Xiong; Cui, Yian; Yan, Xiaocong; Liu, Jun; He, Shaoyi - In: Financial innovation : FIN 6 (2020) 32, pp. 1-17
With the introduction of many derivatives into the capital market, including stock index futures, the trading strategies in financial markets have been gradually enriched. However, there is still no theoretical model that can determine whether these strategies are effective, what the risks are,...
Persistent link: https://ebtypo.dmz1.zbw/10012295988
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Application of diffusion models in the analysis of financial markets : evidence on exchange traded funds in Europe
Marszk, Adam; Lechman, Ewa - In: Risks : open access journal 8 (2020) 1/18, pp. 1-23
Exchange traded funds (ETFs) are financial innovations that may be considered as a part of the index financial instruments category, together with stock index derivatives. The aim of this paper is to explore the trajectories and formulates predictions regarding the spread of ETFs on the...
Persistent link: https://ebtypo.dmz1.zbw/10012203807
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Overnight returns of industry exchange-traded funds, investor sentiment, and futures market returns
Lee, Yun-Huan; Liao, Tzu-Hsiang; Lee, Hsiu-chuan - In: The journal of futures markets 42 (2022) 6, pp. 1114-1134
Persistent link: https://ebtypo.dmz1.zbw/10013287919
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Small is beautiful? : how the introduction of mini futures contracts affects the regular contracts
Greppmair, Stefan; Theissen, Erik - In: Journal of empirical finance 67 (2022), pp. 19-38
Persistent link: https://ebtypo.dmz1.zbw/10013464357
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A comparison between parametric and nonparametric volatility forecasting of stock index futures in China
Jiang, Rui; Wen, Conghua - In: Emerging markets, finance and trade : EMFT 58 (2022) 9, pp. 2522-2537
Persistent link: https://ebtypo.dmz1.zbw/10013354977
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Measuring the dynamic lead-lag relationship between the cash market and stock index futures market
Ma, Chaoqun; Mi, Xianhua - In: Finance research letters 47 (2022), pp. 1-8
Persistent link: https://ebtypo.dmz1.zbw/10013553591
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Small is beautiful? How the introduction of mini futures contracts affects the regular contract
Greppmair, Stefan; Theissen, Erik - 2019
We analyze how the introduction of a mini futures contract affects the liquidity of the regular contract. We use a panel data set that covers more than 20 years and more than 20 contracts. We use a traditional difference-in-differences methodology as well as a synthetic control group approach...
Persistent link: https://ebtypo.dmz1.zbw/10012143443
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Small is beautiful? : how the introduction of mini futures contracts affects the regular contract
Greppmair, Stefan; Theissen, Erik - 2019
We analyze how the introduction of a mini futures contract affects the liquidity of the regular contract. We use a panel data set that covers more than 20 years and more than 20 contracts. We use a traditional difference-in-differences methodology as well as a synthetic control group approach...
Persistent link: https://ebtypo.dmz1.zbw/10012135023
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The price discovery processes in China, India, and Russia's stock index futures markets
Liu, Qingfeng Wilson; Sono, Hui; Zhang, Wei - In: Review of Pacific Basin financial markets and policies 24 (2021) 3, pp. 2150020-1-2150020-28
Persistent link: https://ebtypo.dmz1.zbw/10012657782
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Cross-region risk spillover between the stock and stock index futures markets under exogenous shocks
Chen, Zhang-HangJian; Li, Sai-Ping; Cai, Mei-Ling; … - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-11
Persistent link: https://ebtypo.dmz1.zbw/10013186364
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The maturity effect of stock index futures : speculation or carry arbitrage?
Xu, Kewei; Xiong, Xiong; Li, Xiao - In: Research in international business and finance 58 (2021), pp. 1-11
Persistent link: https://ebtypo.dmz1.zbw/10013286468
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Intraday price jumps, market liquidity, and the magnet effect of circuit breakers
Jian, Zhihong; Zhu, Zhican; Zhou, Jie; Wu, Shuai - In: International review of economics & finance : IREF 70 (2020), pp. 168-186
Persistent link: https://ebtypo.dmz1.zbw/10012486784
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Price discovery and spillover dynamics in the Chinese stock index futures market : a natural experiment on trading volume restriction
He, Feng; Liu-Chen, Baiao; Meng, Xiangtong; Xiong, Xiong; … - In: Quantitative finance 20 (2020) 12, pp. 2067-2083
Persistent link: https://ebtypo.dmz1.zbw/10012313585
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An econometric investigation of hedging performance of stock index futures in Korea : dynamic versus static hedging
Hasan, Mohammad S.; Choudhry, Taufiq; Zhang, Yuanyuan - In: International journal of banking, accounting and … 11 (2020) 2, pp. 227-253
Persistent link: https://ebtypo.dmz1.zbw/10012204571
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A study on the the lead-lag relationship between the CSI 300 futures market and spot market
Yim, Byung-Jin; Liu, Yi-Ling - In: Journal of international trade & commerce 15 (2019) 4, pp. 65-80
Persistent link: https://ebtypo.dmz1.zbw/10012546624
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Price discovery in the Chinese stock index futures market
Hao, Jing; Xiong, Xiong; He, Feng; Ma, Feng - In: Emerging markets, finance and trade : EMFT 55 (2019) 13, pp. 2982-2996
Persistent link: https://ebtypo.dmz1.zbw/10012211061
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Hedging effeciveness of cross-listend Nifty index futures
Kumar, K. Kiran; Bose, Shreya - In: Global economy journal : GEJ 19 (2019) 2, pp. 1950011-1-13
Persistent link: https://ebtypo.dmz1.zbw/10012201237
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Multi-scale Lead-Lag Relationship between the Stock and Futures Markets: Malaysia as a Case Study
Jusoh, Hashim; Bacha, Obiyathulla; Masih, Abul Mansur M. - Volkswirtschaftliche Fakultät, … - 2014
There is a considerable literature relating to a lead-lag relationship between the stock index (spot) and stock index futures markets in developed countries compared to emerging countries. The analysis of this relationship in an emerging market based on a different investment horizon is...
Persistent link: https://ebtypo.dmz1.zbw/10011113744
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Position-limit design for the CSI 300 futures markets
Wei, Lijian; Zhang, Wei; Xiong, Xiong; Shi, Lei - 2014
Persistent link: https://ebtypo.dmz1.zbw/10011344802
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Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach
Bohl, Martin T.; Diesteldorf, Jeanne; Salm, Christian A.; … - Center for Quantitative Economics (CQE), … - 2014
This paper challenges the existing literature examining the impact of the introduction of index futures trading on the volatility of its underlying. To overcome econometric shortcomings of previously published work using the dummy variable approach, we employ a Markov-switching-GARCH technique....
Persistent link: https://ebtypo.dmz1.zbw/10010939069
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Position-Limit Design for the CSI 300 Futures Markets
Wei, Lijian; Zhang, Wei; Xiong, Xiong; Shi, Lei - Finance Discipline Group, Business School - 2014
The aim of this paper is to find the optimal level of position limit for the Chinese Stock Index (CSI) 300 futures market. A small position limit helps to prevent price manipulations in the spot market, thus able to keep the magnitude of instantaneous price changes within policy makers'...
Persistent link: https://ebtypo.dmz1.zbw/10010883506
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Do stock index futures affect economic growth? : evidence from 32 countries
Şendeniz-Yüncü, İlkay; Akdeniz, Levent; Aydoğan, … - In: Emerging markets finance & trade : a journal of the … 54 (2018) 1/2/3, pp. 410-429
Persistent link: https://ebtypo.dmz1.zbw/10012123290
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Impacts of introducing index futures on stock market volatilities : new evidences from China
Gao, Yang; Sun, Bianxia - In: Review of Pacific Basin financial markets and policies 21 (2018) 4, pp. 1-23
Persistent link: https://ebtypo.dmz1.zbw/10011976146
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Hedge ratio on Markov regime-switching diagonal Bekk-Garch model
Zhipeng, Yan; Shenghong, Li - In: Finance research letters 24 (2018), pp. 49-55
Persistent link: https://ebtypo.dmz1.zbw/10011982461
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Does the introduction of index futures stabilize stock markets? : further evidence from emerging markets
Kutan, Ali Mustafa; Shi, Yukun; Wei, Mingzhe; Zhao, Yang - In: International review of economics & finance : IREF 57 (2018), pp. 183-197
Persistent link: https://ebtypo.dmz1.zbw/10012033854
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Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan’s Futures Market
Khan, Safi Ullah; Abbas, Zaheer - In: Lahore Journal of Economics 18 (2013) 1, pp. 63-80
This paper examines the behavior of beta coefficients (systematic risk) for underlying stocks around the introduction of single-stock futures (SSFs) contracts in the Pakistani market, by employing models that account for nonsynchronous and thin trading and varying market conditions as “bull”...
Persistent link: https://ebtypo.dmz1.zbw/10010699441
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Dependence structure analysis between stock index futures and spot markets in the case of the “Golden week” effect
Yin, Lanwenjing; Chokethaworn, Kanchana; Chaiboonsri, … - In: The Empirical Econometrics and Quantitative Economics … 2 (2013) 4, pp. 75-75
The dependence structure analysis of a financial time series of returns is significant when applied to contemporary financial risk management. Copula function is a flexible and effective tool to be used on modeling the financial model and risk management. This paper aims to set up the dependence...
Persistent link: https://ebtypo.dmz1.zbw/10010765513
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Improvement and test of stock index futures trading model based on Bollinger Bands
Yan, Xiao-Xu; Zhang, Yuan-Biao; Lv, Xin-Kun; Li, Zi-Yu - In: International journal of economics and finance 9 (2017) 1, pp. 78-87
Persistent link: https://ebtypo.dmz1.zbw/10011617678
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Feedback trading in stock index futures : evidence from South Africa
Charteris, Ailie; Musadziruma, Arnold - In: Research in international business and finance 42 (2017), pp. 1289-1297
Persistent link: https://ebtypo.dmz1.zbw/10011760998
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Beyond smart beta : index investment strategies for active portfolio management
Kula, Gökhan; Raab, Martin; Stahn, Sebastian - 2017
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Persistent link: https://ebtypo.dmz1.zbw/10011633991
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Co-movements and contagion between international stock index futures markets
Albulescu, Claudiu Tiberiu; Goyeau, Daniel; Tiwari, … - In: Empirical economics : a journal of the Institute for … 52 (2017) 4, pp. 1529-1568
Persistent link: https://ebtypo.dmz1.zbw/10011945853
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Trend-tracking trading strategy based on improved RSI : a case study of Chinese CSI 300 stock index futures
Ma, Jishan; Liao, Hongyan - In: International journal of economics and finance 9 (2017) 4, pp. 130-139
Persistent link: https://ebtypo.dmz1.zbw/10011649999
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Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market
Lu, Xinsheng; Tian, Jie; Zhou, Ying; Li, Zhihui - 2012
Based on the multifractal detrended fluctuation analysis (MF-DFA) and multifractal spectrum analysis, this paper empirically studies the multifractal properties of the Chinese stock index futures market. Using a total of 2,942 ten-minute closing prices, we find that the Chinese stock index...
Persistent link: https://ebtypo.dmz1.zbw/10012624236
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People’s Republic of China; Detailed Assessment Report: IOSCO Objectives and Principles of Securities Regulation
International Monetary Fund (IMF); International … - 2012
This paper discusses a detailed assessment report on the observance of China’s compliance with the International Organization of Securities Commission's objectives and principles of securities regulation. The reform of nontradable shares introduced a market-based pricing system for...
Persistent link: https://ebtypo.dmz1.zbw/10011242961
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Volatility Impact of Stock Index Futures Trading - A Revised Analysis
Wagner, Helmut; Matanovic, Eva - Volkswirtschaftliche Fakultät, … - 2012
The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...
Persistent link: https://ebtypo.dmz1.zbw/10011112356
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The Relative Contemporaneous Information Response. A New Cointegration-Based Measure of Price Discovery
Sebastião, Helder - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2012
This paper describes the cointegration-based technologies commonly used to assess the relative price discovery across markets, namely the Hasbrouck information shares and Gonzalo-Granger long memory common factor weights, and presents a new metric denominated contemporaneous information...
Persistent link: https://ebtypo.dmz1.zbw/10010535502
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Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market
Lu, Xinsheng; Tian, Jie; Zhou, Ying; Li, Zhihui - Faculty of Business, Auckland University of Technology - 2012
Based on the multifractal detrended fluctuation analysis (MF-DFA) and multifractal spectrum analysis, this paper empirically studies the multifractal properties of the Chinese stock index futures market. Using a total of 2,942 ten-minute closing prices, we find that the Chinese stock index...
Persistent link: https://ebtypo.dmz1.zbw/10010596143
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A STUDY ON FINANCIAL DERIVATIVE WORLDWIDE TRANSACTIONS -FUTURES CONTRACTS
Gheorghe, CIOBANU; Ioana-Cristina, SECHEL - In: Annals of Faculty of Economics 1 (2012) 1, pp. 35-40
Financial products and financial derivatives transactions are on front page in the profile publications, because they have generated huge gains for a small part of market participants, and losses as well, sometimes followed by collapse even on the international financial institutions. Very...
Persistent link: https://ebtypo.dmz1.zbw/10010607251
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Essays on bond exchange-traded funds [electronic resource]
Evans, Charles W. - 2011
This dissertation investigates two fundamental questions related to how well exchange-traded funds that hold portfolios of fixed-income assets (bond ETFs) proxy for their underlying portfolios. The first question involves price/net-asset-value (NAV) mean-reversion asymmetries and the...
Persistent link: https://ebtypo.dmz1.zbw/10009431421
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People's Republic of China; Financial System Stability Assessment
International Monetary Fund (IMF); International … - 2011
This report discusses the IMF/World Bank Financial Sector Assessment Program (FSAP) exercise for China undertaken during June–December 2010. The assessment concluded that reforms in China have progressed well in moving toward a more commercially oriented financial system. Despite success...
Persistent link: https://ebtypo.dmz1.zbw/10011243609
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Developing Asean5 Bond Markets; What Still Needs to Be Done?
Gray, Simon; Jobst, Andreas; Felman, Joshua; Carvajal, Ana - International Monetary Fund (IMF) - 2011
This paper examines a range of issues relating to bond markets in the ASEAN5 (Indonesia, Malaysia, Philippines, Singapore and Thailand) - physical infrastructure including trading, clearing and settlement; regulation, supervision and legal underpinnings; and derivatives markets - and finds that...
Persistent link: https://ebtypo.dmz1.zbw/10009151209
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Taxing Financial Transactions; Issues and Evidence
Matheson, Thornton - International Monetary Fund (IMF) - 2011
In reaction to the recent financial crisis, increased attention has recently been given to financial transaction taxes (FTTs) as a means of (1) raising revenue for a variety of possible purposes and/or (2) helping to curb financial market excesses. This paper reviews existing theory and evidence...
Persistent link: https://ebtypo.dmz1.zbw/10008876594
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Intra- and inter-regional return and volatility spillovers across emerging and developed markets : evidence from stock indices and stock index futures
Yarovaya, Larisa; Brzeszczyński, Janusz; Lau, Chi Keung - In: International review of financial analysis 43 (2016), pp. 96-114
Persistent link: https://ebtypo.dmz1.zbw/10011623719
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Overnight trading and price discovery over the course of a trading day : evidence from stock index futures in Korea
Joo, Sang Lyong; Seon, Junghoon; Lee, Ji Soo - In: Asia-Pacific journal of financial studies 45 (2016) 3, pp. 463-491
Persistent link: https://ebtypo.dmz1.zbw/10011550834
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Stochastic dominance and investors' behavior towards risk : the Hong Kong stocks and futures markets
Lam, Kin; Hooi Hooi Lean; Wong, Wing Keung - In: The international journal of finance 28 (2016) 2, pp. 113-135
Persistent link: https://ebtypo.dmz1.zbw/10011732720
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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://ebtypo.dmz1.zbw/10011346849
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A dynamic hedging model based on conditional higher moments
Jun, Dai - In: Investment management and financial innovations 12 (2015) 1, pp. 60-69
Persistent link: https://ebtypo.dmz1.zbw/10010515866
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