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• W1976777669 abstract "Journal of Futures MarketsVolume 13, Issue 7 p. 711-742 Article Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach Mahmoud Wahab, Mahmoud Wahab Mahmoud Wahab is an Assistant Professor of Finance at the University of Hartford.Search for more papers by this authorMalek Lashgari, Malek Lashgari Malek Lashgari is an Associate Professor of Finance at the University of Hartford.Search for more papers by this author Mahmoud Wahab, Mahmoud Wahab Mahmoud Wahab is an Assistant Professor of Finance at the University of Hartford.Search for more papers by this authorMalek Lashgari, Malek Lashgari Malek Lashgari is an Associate Professor of Finance at the University of Hartford.Search for more papers by this author First published: October 1993 https://doi.org/10.1002/fut.3990130702Citations: 151 AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Bibliography Akaike, H. (1969a): “Statistical Predictor Identification” Annals of the Institute of Statistical Mathematics, 21: 203–217. Akaike, H. (1969): “Fitting Autoregressions for Prediction,” Annals of the Institute of Statist6ical Mathematics, 21: 243–247. Bollerslev, T. (1986): “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31: 307–327. Box, G. E. P., and Jenkins, G. M. (1976): Time Series Analysis: Forecasting and Control, 2nd ed. San Francisco: Holden-Day. Chan, K., Chan, K. C., and Karolyi, G. A. (1991): “Intraday Volatility in the Stock Index and Stock Index Futures Markets,” Review of Financial Studies, 4: 657–683. Cornell, B. and French, K. (1983, Spring): “The Pricing of Stock Index Futures,” The Journal of Futures Markets, 3: 1–14. Cornell, B., and French, K. 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(1988, Summer): “Index Futures Arbitrage and the Behavior of Stock Index Futures Prices,” Review of Financial Studies, 1: 137–158. MacKinnon, J. G. (1991): “ Critical Values for Cointegration Tests,” in Long Run Economic Relationships: Readings in Cointegration, R. F. Engle, and C. W. J. Granger, (eds.), Oxford University Press, pp. 267–276. Milonas, N. T. (1986): “Price Variability and the Maturity Effect in Futures Markets,” The Journal of Futures Markets, 6: 443–460. Modest, D. and Sundaresan, M. (1983, Summer): “The Relationship Between Spot and Futures Prices: Some Preliminary Evidence,” The Journal of Futures Markets, 3: 15–41. Ng, N. (1987, May): “Detecting Spot Price Forecasts in Futures Prices Using Causality Tests,” The Review of Futures Markets, 6: 250–267. Pierce, D. A. (1979): “R2 Measures For Time Series,” Journal of the American Statistical Association, 368: 901–909. Pierce, D. A., and Haugh, L. D. (1977): “Causality in Temporal Systems: Characterizations and Survey,” Journal of Econometrics, 5: 265–293. Roll, R. (1984, September): “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market,” Journal of Finance, 4: 1127–1139. Schwert, G. W. (1989, April): “Tests for Unit Roots: A Monte Carlo Investigation,” Journal of Business and Economic Statistics, 7 (2): 147–159. Sims, C. A., and Dickey, D. (1972): “Money, Income and Causality,” American Economic Review, 62: 5460–552. Stoll, R. H., and Whaley, R. E. (1990, December): “The Dynamics of Stock Index and Stock Index Futures Returns,” Journal of Financial and Quantitative Analysis, 25 (3): 441–468. Citing Literature Volume13, Issue7October 1993Pages 711-742 ReferencesRelatedInformation" @default.
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