Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects
- 1 April 1989
- journal article
- research article
- Published by Wiley in Journal of Futures Markets
- Vol. 9 (2) , 101-111
- https://doi.org/10.1002/fut.3990090203
Abstract
No abstract availableKeywords
All Related Versions
This publication has 4 references indexed in Scilit:
- Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effectsJournal of Futures Markets, 1987
- Hedging Performance and Basis Risk in Stock Index FuturesThe Journal of Finance, 1984
- Taxes and the Pricing of Stock Index FuturesThe Journal of Finance, 1983
- The relationship between spot and futures prices in stock index futures markets: Some preliminary evidenceJournal of Futures Markets, 1983