haku: @author Stoll, H. R. / yhteensä: 16
viite: 8 / 16
| Tekijä: | Stoll, H. R. Whaley, R. E. |
| Otsikko: | Program trading and expiration-day effects. |
| Lehti: | Financial Analysts' Journal
1987 : MAR/APR, VOL. 43:2, p. 16-28 |
| Asiasana: | FINANCIAL ANALYSIS STOCKBROKING STOCK OPTIONS FUTURES MARKETS |
| Kieli: | eng |
| Tiivistelmä: | A review of arbitrage between index futures, the cash index and cash settlement of index futures contracts, the price effects associated with expiration days and the need for the Securities and Exchange Commission to find cost-effective operational procedures to handle unexpected order imbalances on the stock market. The analysis covers index futures and cash arbitrage, transaction costs and risks, position unwinding, stock market volume effects and last-hour price effects. |
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