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 paper reports empirical evidence on stock index futures pricing based on about four
years of synchronous hourly data from the UK. Reported index values are based on firm …

This article examines if changes in short sales constraints affect the extent to which index
futures contracts are mispriced. In particular, the study analyzes the mispricing of the Hong …

This study examines the impact of short-selling restrictions on futures mispricing (relative to
various benchmarks) in the market for CSI 300 index futures. In mid-2015, Chinese …

This article highlights the impact of short selling restrictions and early unwinding
opportunities on the relation between futures and spot prices. Within a multiperiod …

We examine the lead‐lag relation between index futures and the underlying index under
three types of short‐selling restrictions on stocks in Hong Kong. Our results indicate that …

A number of empirical studies have focused on examining the stock index futures arbitrage.
The reported results were not consistent and depended on a number of factors. Our study …

Stock index futures in Chinese market have consistently diverged from their theoretical
values. In this paper, we try to provide some explanations by proposing an equilibrium …

Recent lifting of short‐sales constraints in Hong Kong provides an important opportunity to
examine whether such restrictions affect the dynamic relationship between index futures and …

We examine the determinants of mispricing in single stock futures traded in the National
Stock Exchange of India, the second largest global trading venue for such contracts. We …