Access the full text.
Sign up today, get DeepDyve free for 14 days.
Christian Schlag (1996)
Expiration day effects of stock index derivatives in GermanyEuropean Financial Management, 2
Kalok Chan (1992)
A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures MarketReview of Financial Studies, 5
Tae-Hwy Lee, Y. Tse (1996)
Cointegration tests with conditional heteroskedasticityJournal of Econometrics, 73
Johansen Johansen, Juselius Juselius (1990)
Maximum likelihood estimation and inference on cointegration—With applications to demand for moneyOxford Bulletin of Economics and Statistics, 52
Jeff Fleming (1998)
The quality of market volatility forecasts implied by S&P 100 index option pricesJournal of Empirical Finance, 5
G. Booth, Peter Iversen, Salil Sarkar, H. Schmidt, A. Young (1999)
Market structure and bid-ask spreads: IBIS vs NasdaqEuropean Journal of Finance, 5
Yoshio Iihara, Kiyoshi Kato, Toshifumi Tokunaga (1996)
Intraday return dynamics between the cash and the futures markets in JapanJournal of Futures Markets, 16
Whaley Whaley (1993)
Derivatives on market volatility: Hedging tools long overdueJournal of Derivatives
J. Stephan, R. Whaley (1990)
Intraday Price Change and Trading Volume Relations in the Stock and Stock Option MarketsJournal of Finance, 45
Abhay Abhyankar (1995)
Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures marketsJournal of Futures Markets, 15
Jeff Fleming, Barbara Ostdiek, R. Whaley (1996)
Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option MarketsJournal of Futures Markets, 16
A. Herbst, J. McCormack, Elizabeth West (1987)
Investigation of a lead‐lag relationship between spot stock indices and their futures contractsJournal of Futures Markets, 7
Gonzalo Gonzalo, Granger Granger (1995)
Estimation of common long‐memory components in cointegrated systemsJournal of Business & Economic Statistics, 13
Michael Osterwald-Lenum (1992)
A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test StatisticsOxford Bulletin of Economics and Statistics, 54
F. Black, Myron Scholes (1973)
The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 81
R. King, Charles Plosser, J. Stock, M. Watson (1987)
Stochastic Trends and Economic FluctuationsNBER Working Paper Series
W. Bühler, A. Kempf (1995)
Dax index futures: Mispricing and arbitrage in German marketsJournal of Futures Markets, 15
Andreas Grünbichler, Eduardo Schwartz, F. Longstaff (1994)
Electronic Screen Trading and the Transmission of Information: An Empirical ExaminationJournal of Financial Intermediation, 3
Cheung Cheung, Lai Lai (1993)
Finite sample sizes of Johansen's likelihood ratio tests for cointegrationOxford Bulletin of Economics and Statistics, 55
Merton Miller, J. Muthuswamy, R. Whaley (1994)
Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?Journal of Finance, 49
R. Whaley (1993)
Derivatives on Market Volatility, 1
S. Johansen (1991)
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive ModelsEconometrica, 59
A. Subrahmanyam (1991)
A Theory of Trading in Stock Index FuturesReview of Financial Studies, 4
D. Lindley (1957)
A STATISTICAL PARADOXBiometrika, 44
King King, Plosser Plosser, Stock Stock, Watson Watson (1991)
Stochastic trends and fluctuationsAmerican Economic Review, 81
Osterwald‐Lenum Osterwald‐Lenum (1992)
A note with fractiles of asymptotic distribution of the maximum likelihood cointegration rank test statistics: Four casesOxford Bulletin of Economics and Statistics, 54
F. Harris, Thomas Mcinish, Gary Shoesmith, R. Wood (1995)
Cointegration, Error Correction, and Price Discovery on Informationally Linked Security MarketsJournal of Financial and Quantitative Analysis, 30
Roll Roll (1984)
A simple implicit measure of the effective bid–ask spread in an efficient marketJournal of Finance, 39
J. Gonzalo (2010)
The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems"Journal of Financial Econometrics, 8
H. Stoll, R. Whaley (1990)
The Dynamics of Stock Index and Stock Index Futures ReturnsJournal of Financial and Quantitative Analysis, 25
S. Johansen (1988)
STATISTICAL ANALYSIS OF COINTEGRATION VECTORSJournal of Economic Dynamics and Control, 12
Andreas Haller, H. Stoll (1989)
Market structure and transaction costs: Implied spreads in the German stock marketJournal of Banking and Finance, 13
G. Shyy, V. Vijayraghavan, Brian Scott-Quinn (1996)
A further investigation of the lead‐lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of FranceJournal of Futures Markets, 16
G. Koutmos, Michael Tucker (1996)
Temporal relationships and dynamic interactions between spot and futures stock marketsJournal of Futures Markets, 16
C. Sims (1980)
MACROECONOMICS AND REALITYEconometrica, 48
Emmons Emmons, Schmid Schmid (1998)
Universal banking, control rights and corporate finance in GermanyReview, Federal Reserve Bank of St. Louis
Y. Tse (1998)
International linkages in Euromark futures markets: Information transmission and market integrationJournal of Futures Markets, 18
K. West, Whitney Newey (1994)
Automatic Lag Selection in Covariance Matrix Estimation
F. Jong, M.W.M. Donders (1998)
Intraday Lead-lag Relationships between the Futures- Options and Stock MarketEuropean Finance Review, 1
J. Stock, M. Watson (1988)
Testing for Common TrendsJournal of the American Statistical Association, 83
Whitney Newey, K. West (1986)
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance MatrixEconometrics eJournal
Ira Kawaller, Paul Koch, T. Koch (1987)
The Temporal Price Relationship between S&P 500 Futures and the S&P 500 IndexJournal of Finance, 42
This article examines the intraday price discovery process among stock index, index futures, and index options in Germany using DAX index securities and intraday transactions data. The three index securities contribute to a common factor, but the spot index and index futures have substantially larger information shares than index options. Moreover, the returns of the three index securities exhibit feedback effects, with futures being dominant. Because the trading costs of the futures appear to be the lowest of the three and those of the options to be the highest, the results are consistent with the transaction cost hypothesis. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 619–643, 1999
The Journal of Futures Markets – Wiley
Published: Sep 1, 1999
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.