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• W2034456764 abstract "Journal of Futures MarketsVolume 13, Issue 6 p. 645-664 Article Short sales restrictions and the temporal relationship between stock index cash and derivatives markets Vesa Puttonen, Vesa Puttonen Assistant Professor at the Helsinki School of Economics and Business Administration, FinlandSearch for more papers by this author Vesa Puttonen, Vesa Puttonen Assistant Professor at the Helsinki School of Economics and Business Administration, FinlandSearch for more papers by this author First published: September 1993 https://doi.org/10.1002/fut.3990130606Citations: 33AboutPDF 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 Admati, A., and Pfleiderer, P. (1988): “A Theory of Intraday Patterns: Volume and Price Variability.” Review of Financial Studies, 1: 3–40. Akaike, H. (1969): “Fitting Autoregressive Models for Prediction,” Annals of the Institute of Statistical Mathematics, 22: 243–247. Berglund, T., and LiIjeblom, E. (1988): “Market Serial Correlation on a Small Security Market,” Journal of Finance, 43 (5): 1265–1275. Bhatt, S., and Cakici, N. (1990): “Premiums on Stock Index Futures—Some Evidence,” The Journal of Futures Markets, 10: 367–375. Bhattacharya, M. (1989): “Price Changes and Related Securities: The Case of Call Options and Stocks,” Journal of Financial and Quantitative Analysis, 22 (1): 1–15. Brenner, M., Subrahmanyam, M. G., and Uno, J. (1990, March–April): “ Arbitrage Opportunities in the Japanese Stock and Futures Markets,” Financial Analysts Journal, 14–24. Chan, K. A. (1992): “Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market,” Review of Financial Studies, 5 (1): 123–152. Chan, K. A., Chan, K. C., and Karolyi, G. A. (1991): “Intraday Volatility in the Stock Index and Stock Index Futures Markets,” Review of Financial Studies, 4 (4): 657–684. Cheung, Y-W., and Ng, L. K. (1990): “The Dynamics of S&P 500 Index and S&P 500 Futures Intraday Price Volatilities,” Review of Futures Markets, 9 (2): 458–486. Cornell, B., and French, K. R. (1983): “Taxes and the Pricing of Stock Index Futures,” Journal of Finance, 38 (3): 675–694. Engle, R. F., and Granger, C. W. J. (1987): “Cointegration and Error Correction. Representation, Estimation, and Testing,” Econometrica, 55 (2): 251–276. Finnerty, J., and Park, H. (1987a, March–April): “Stock Index Futures: Does the Tail Wag the Dog?” Financial Analysts Journal, 43: 57–61. Finnerty, J., and Park, H. (1987b, November–December): “Stock Index Futures: Does the Tail Wag the Dog? A Response to Comments,” Financial Analysts Journal, 43: 76. Finucane, T. J. (1991): “Put-Call Parity and Expected Returns,” Journal of Financial and Quantitative Analysis, 26 (4): 445–457. Garbade, K. D., and Silber, W. L. (1983): “Price Movements and Price Discovery in Futures and Cash Markets,” Review of Economics and Statistics, 65: 289–297. Gordon, D., Moriarty, E., and Tosini, P. (1987, November–December): “Stock Index Futures: Does the Tail Wag the Dog?” Financial Analysts Journal, 43: 72–73. Granger, C. W. J. (1969, July): “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods,” Econometrica, 37: 424–438. Granger, C. W. J. (1981): “ Some Properties of Time Series Data and Their Use in Econometric Model Specification,” Journal of Econometrics, 121–130. Harris, L. (1989): “The October 1987 S&P 500 Stock-Futures Basis,” Journal of Finance, 44 (1): 77–99. Herbst, A. F., and Maberly, E. (1987, November–December): “Shoes and Ships and Sealing Wax, Cabbages and Kings: Now Tail-Wagged Dogs and Stock Index Futures,” Financial Analysts Journal, 43: 73–75. Herbst, A. F., McCormack, J., and West, E. (1987): “Investigation of a Lead–Lag Relationship Between Spot Stock Indices and Their Futures Contracts,” The Journal of Futures Markets, 7 (3): 373–381. Jensen, M. C. (1976): “Some Anomalous Evidence Regarding Market Efficiency,” Journal of Financial Economics, 6: 95–101. Kawaller, I. G., Koch, P. D., and Koch, T. W. (1987): “The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index,” Journal of Finance, 42 (5): 1309–1329. Kutner, G. W., and Sweeney, R. J. (1991, Spring): “Causality Tests Between the S&P 500 Cash and Futures Markets,” Quarterly Journal of Business and Economics, 30: 51–74. MacKinlay, C. A., and Ramaswamy, K. (1988): “Index-futures Arbitrage and the Behavior of Stock Index Futures Prices,” The Review of Financial Studies, 1 (2): 137–158. MacKinnon, J. (1990): “ Critical Values for Cointegration Tests,” in Modelling Long Run Dynamic Relationships, R. F. Engle, and W. J. Granger (eds.), Oxford University Press. Manaster, S., and Rendleman, R. J. Jr. (1982): “Option Prices as Predictors of Equilibrium Stock Prices,” Journal of Finance, 37 (4): 1043–1057. Martikainen, T., and Puttonen, V. (1992): “On the Informational Flow Between Financial Markets: International Evidence from Thin Stock and Stock Index Futures Markets,” Economics Letters, 38: 213–216. Martikainen, T., and Puttonen, V. (1993 forthcoming): “ A Note on the Predictability of Finnish Stock Market Returns: Evidence from Stock Index Futures Markets,” European Journal of Operational Research. Ng, V. (1987): “Detecting Spot Price Forecasts in Futures Prices Using Causality Tests,” Review of Futures Markets, 6: 250–267. Östermark, R., and Hernesniemi, H. (1993): “ Measuring the Impact of Information Timeliness on the Predictability of Stock Index and Stock Index Futures Returns: An Application of Vector Models,” Working Paper, Åbo Akedemi University, Turku, Finland. Puttonen, V. (1992): “On the Behaviour of the Finnish Stock Index Options Markets,” Finnish Economic Papers, 5 (2): 117–128. Puttonen, V. (forthcoming): “ The Ex ante Profitability of Index Arbitrage in the New Finnish Markets,” Scandinavian Journal of Management. Schwarz, T. V., and Laatsch, F. E. (1991): “Dynamic Efficiency and Price Leadership in Stock Index Cash and Futures Markets,” Journal of Futures Markets, 11 (6): 669–683. Stephan, J. A., and Whaley, R. E. (1990): “Intraday Price Changes and Trading Volume Relations in the Stock and Stock Option Markets,” Journal of Finance, 45 (2): 191–220. Stoll, H. R. (1969): “The Relationship Between Put and Call Prices,” Journal of Finance, 24 (5): 801–824. Stoll, H. R., and Whaley, R. E. (1990, December): “The Dynamics of Stock Index and Stock Index Futures Returns,” Journal of Financial and Quantitative Analysis, 25: 441–468. Tang, G. Y. N. (1990): “The Informational Content of the Implied Interest Rate from Stock Index Futures,” The Review of Futures Markets, 9: 180–189. Wong, S. Q. (1991): “ The Information Content of Futures Relative to Cash Market Prices,” Working Paper, University of Minnesota, Duluth. Yadav, P. K., and Pope, P. F. (1990): “Stock Index Futures Rebitrage: International Evidence,” The Journal of Futures Markets, 10 (6): 573–603. Yadav, P. K., and Pope, P. F. (1991): “Testing Index Futures Market Efficiency Using Price Differences: A Critical Analysis,” The Journal of Futures Markets, 11 (2): 239–252. Zeckhauser, R., and Niederhoffer, V. (1983, January–February): “ The Performance of Market Index Futures Contracts,” Financial Analysts Journal. Citing Literature Volume13, Issue6September 1993Pages 645-664 ReferencesRelatedInformation" @default.
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