Author: | Thomas, S. |
Title: | The saga of the first stock index futures contract: benchmarks, models, and learning |
Journal: | Journal of Money, Credit and Banking
2002 : AUG, VOL. 34:3, part 2, p. 767-808 |
Index terms: | Money markets Banking Stock index options Contracts Benchmarking |
Language: | eng |
Abstract: | The study highlights persistent pricing irregulatities in the Kansas City Value Line stock index futures market. Empirical analysis reveals that during a four-year period the masrket displayed herd-like behaviour and priced the KCVL contract using the simple but wrong cost-of-carry benchmark model. |
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