The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

This study aims to measure Shanghai 50 Exchange-Traded Fund (SSE 50 ETF) index
options efficiency for trading in different periods of a trading day. We use an econometric …

We use the standard contrarian portfolio approach to examine short-horizon return
predictability in 24 US futures markets. We find strong evidence of weekly return reversals …

Despite the importance of the London markets and the significance of the relationship for
market makers, little published research is available on arbitrage between the FTSE‐100 …

This paper examines the efficiency of the French options market (MONEP) using transaction
data on CAC 40 index options during the period January 02, 1997 through December 30 …

This article studies the impact of the Asian financial crisis on index options and index futures
markets in Hong Kong. We employed a time‐stamped transaction data set of the Hang Seng …

Futures and options contracts on stock indices have received warm receptions since their
relatively late debut in the financial markets. There are two reasons for the success of these …

We can infer from bid/ask quotations and transaction prices that where options contracts are
traded under a competitive open‐outcry market‐making system, the options and futures …

The prices of the option and futures of a stock both reflect the market's expectation of futures
changes of the stock's price. Their prices normally align with each other within a limited …

Objective: While inefficiencies in the financial markets are the leading cause of capital
misallocation, options market efficiency is a major area of interest within this field of study …