haku: @journal_id 62 / yhteensä: 680
viite: 140 / 680
Tekijä: | Stoll, H.R. Whaley, R.E. |
Otsikko: | The dynamics of stock index and stock index futures returns |
Lehti: | Journal of Financial and Quantitative Analysis
1990 : DEC, VOL. 25:4, p. 441-468 |
Asiasana: | SHARE PRICES FUTURES MARKETS FINANCIAL MODELS |
Kieli: | eng |
Tiivistelmä: | An investigation of the time series properties of 5-minute, intraday returns of stock index and futures contracts. Theory. Data description and sources. Return series. Infrequent trading and bid/ask price effects. Serial correlation in observed returns. Modelling. Stock index futures returns and stock index returns. Market maturation effects. Eight Tables illustrate the study. The Appendix gives a derivation of a model. |
SCIMA