Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan...
Transcript of Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan...
269
Bibliography
Published Articles:
1. Andreas A. Jobst (2008), The development of equity derivative markets,
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2. Alex Frino, Terry Walter and Andrew West (2000), The lead- lag
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487.
3. Alexander A. Kurov and Dennis J. Lasser (2002), The Effect of the
Introduction of Cubes on the NASARDQ-100 index spot- futures pricing
relationship, The Journal of Futures Markets, Vol.22, No.3, pp.197-218.
4. Andrew C. Szakmary and Dean B. Kiefer (2004), The Disappearing
January/ Turn of the Year effect- Evidence from stock index futures and
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784.
5. Amirik Singh and Arun Upneja (2008), The deretminants of the decision to
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6. Andy C.N.Kan (2004) Resiliency ability of the underlying spot market after
the introduction of index of index futures contracts- Evidence from Hong
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7. Alexander Kurov and Dennis .J .Lasser (2004), Price Dynamics in the
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8. Abhay Abhyankar (1998), Linear and nonlinear Granger Causality- Evidence
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Journal of Futures Markets, Vol.20, No.5, pp.425-444.
270
10. Allan Hodgson and John Okunev (1992), An alternative Approach for
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Multiperiod hedging with futures contracts,The Journal of Futures Markets,
Vol.22, No.12, pp. 1179-1203.
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hedge ratio- Constant, Time varying and the Kalman Filter approach,
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13. Amir Alizadesh and Nikos Nomikos (2004), A Markov Regime Switching
approach for hedging stock Indices, The Journal of Futures Markets, Vol.24,
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16. Andreas.A.Jobst (2007),The development of Equity derivatives Market in
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18. Alexander Van Haastrecht, Roger Lord, Antoon Pelsser and David
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interest rates and stochastic volatility, ssrn.com,pp.1-28.
19. Anjali Choksi (2010), Derivatives trading in Indian stock Market- Investors
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20. Asjeet.S. Lamba (2003), An analysis of the dynamic relationships between
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21. Ash Narayan Sha (2009), Stock market seasonality- A study of the Indian
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271
24. Ansew.S. Ahmed, Anne Beatty and Corolyn Takeda (1997), Evidence on
interest rate risk management and derivatives usage by commercial
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25. Anju Thakur, Rahul Karkun and Sameer Kalra (2003),Financial
derivatives market and its development in India, ssrn.com, pp. 1-8.
26. Aline Muller and Willem F.C Verschoor (2008), The value- relevance of
currency derivatives disclosure, ssrn.com/ abstract- 1091263, pp 1-46.
27. Anuradha Sivakumar and Runa Sarkar (2009), Corporate hedging for
foreign Exchange risk in India, rbi.org, pp. 1-17.
28. Andy C. N. Kan (2004) Resiliency Ability of the underlying spot market after
the introduction of index futures contracts-Evidence from Hong Kong, Journal
of Emerging Market Finance, Vol.3,pp. 270-283.
29. Alper Ozum and Erman Erbaykal (2009), Detecting risk transmission form
futures to spot market without data stationarity-Evidence form Turkey’s
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30. Bhaumik.S, Karanasos.M, and A. Kartsaklas (2008), Derivatives trading
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1344465,pp.1-34.
31. Brian.J. Henderson and Neil D. Pearson (2004), Patterns in the pay off of
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32. Bernadette Minton, Rene.M.Stulz and Rohan Williamson (2006), How
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34. Brent Mc Clintock (1996),International Fianancial instability and the
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36. Chetan Swarup, Mudit Metha and Amalan- Chaudhuri (2008), Pricing of
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37. Coenrad Vrolijk (1997), Derivatives effect on monetary policy, IMF
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272
38. Christos Floros and Dimitrios .V Vougas (2008), The efficiency of Greek
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39. Christos Floros (2007), Price and open interest in Greek stock index futures
market, Journal of Emerging Markets Finance, Vol.6, No.2, pp.191-202.
40. Claudio Albanese and Adel Osseriran (2007), Moments Methods for exotic
volatility derivatives, ssrn.com/ abstract- 1021401, pp. 1-16.
41. Christopher Geczy, Bernadette A. Minton and Catherine Schrand (1996),
Why firms use currency derivatives, The Journal of Finance, pp.1-50.
42. Catherine M.Daily and Dan R. Dalton (2003), Are Director equity policies
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43. Charles J. Cunny (2002), Spread futures, why derivatives on derivatives,
ssrn.com, pp. 1-24.
44. Claudio Albanese and Alicia Vidler (2007), A structural model for credit-
equity derivatives and Bespoke CDOS, ssrn.com, pp 1-27.
45. Coleman T.F,Kim, Y.Li, M.Patron (2007), Robustly hedging variable
annuities with guarantee under jump and volatility risks, The Journal of Risk
and Insurance, Vol.74, No.2, pp.347-376.
46. David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a
recently opened emerging index futures markets-Arbitrageurs invited,The
Journal of Futures Markets, Vol. 29, No.3, pp. 218-243.
47. Dimitris Bertsimas, Leonid Kogan and Andrew W. Lo (2001), Hwdging
derivatives securities and incomplete markets- An E-arbitrage approach,
Operation Research, Vol.49,No.3,pp.372-397.
48. Donald Lien and Y.K.Tse (2002), some recent development in futures
hedging, Journal of Economic Survey, Vol.16, No.3, pp.357-396.
49. Donald Lien & Yiu Kuen Tse (1999), Fractional cointegration and futures
hedging, The Journal of futures markets, Vol.19, No.4, pp. 457-474.
50. Donald Lien & keshab Shrestha (2007), An empirical analysis of the
relationship between hedge ratio and hedging horizon using Wavelet analysis,
The Journal of Futures Markets, Vol.27, No.2, pp. 127-150.
51. Demitris. F. Kenourgios (2004), Price discovery in the ATHENS derivatives
exchange- Evidence for the FTSE/ASE-20 futures markets, Economic and
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273
52. Damiano Brigo and Naoufel El- Bachir (2006) Credit derivatives pricing
with a smile – extended Jump Stochastic Intensity Model, ICMA Centre
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53. Debasis Bagchi (2009), Global stock futures –A diagnostic analysis of a
selected emerging and development markets with special reference to India,
ssrn.com, pp. 1-17.
54. Dimitris Kenourgios, Aristeids Samitas and Panagiotis Drosos (2008),
Hedge ratio estimation and hedging effectiveness – the case of the S&P 500
stock index futures contract, International Journal of Risk Assessment and
Management, Vol.9, No.1/2,pp.121-134.
55. Eli. M.Remolona and Ilhuiock Shin (2008) Credit derivatives and structured
credit, Nascent Markets of Asia and the Pacific, BIS Quarterly Review, pp. 57-
65.
56. Eugenio S.De Nardis (2004), Financial derivatives and the intrinsic
separation of ownership and control, ssrn.com / abstract-1347061,pp.1-28.
57. Emmanuel Derman (2001), The principles and practice of verifying
derivatives prices, ssrn.com,pp.1-8.
58. Ephraim Clark and Salma Mefteh (2006), Asymmetric foreign currency
exposure and derivative use- Evidence France, ssrn.com/abstract-
1421843,pp.1-23.
59. Epaminontas Katsikas (2007), Volatility and autocorrelation in European
futures market, Managerial Finance, Vol.33,No.3,pp.236-240.
60. Elijah Brewer, William E.Jackson and James. J.Moser (1996), Alligators
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61. Fulko Fecht and Hendrik Hakenes (2006), Money market derivatives and
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62. Florian Huehne (2006), Defaultable levy libor rates and credit derivatives,
ssrn.com, pp.1-16.
63. Fernando Dal- Ri Murciaand Ariovaldo Dos Santos (2010), Evidence of
internal financial reporting standards (IFRS) implementation in Brazil, the
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64. Frank H. Easter Brook (2002), Derivative Securities and Corporate
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65. Frank Shiller, Gerold Seidler and Maximilian Winner (2008), Temparature
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66. Frederick Abergel (2008), Credit risk in the pricing and hedging of
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67. Geoffrey.G.Booth, John Paul Broussard, Jeppo Martikainen, Vesa
Puttonen (1997) Prudent margine levels in the Finnish stock index futures
market, Management Science, Vol.43, No.8, pp.1177-1188.
68. George.M Von Furstenberg and Carlos (2004), Bolsa or NYSE:Price
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69. Gregory.J Ballentine (1980), Dividend policy and tax incidence in a growing
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71. George Tsetsekos and Panos Varangis (1997), The structure of derivative
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72. Gregory W. Brown (2000), Managing foreign exchange risk derivatives,
ssrn.com, pp. 1-46.
73. Gordon.M.Bodnar, Abe de Jong and Victor Macrae (2003), The impact of
Institutional Differences on Derivatives Usage-A comparative study of US
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74. Geoffrey B.Goldman (1995), Crafting a suitability requirement for the sale of
over- the counter derivatives-Should regulators punish the wall street
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75. Gurdip Bakshi, Nikung Kapadia & Dilip Madan (2003), Stock return
characteristics, Skew Laws and the differential pricing individual equity
options, The Review of Financial Studies, Vol.16, No.1, pp.101-143.
76. Gyu –Hyen Moon, Wei-Choun Yu and Chung- Hyo Hong (2008), Dynamic
hedging performance with the evaluation of multivariate Garch models:
Evidence from KOSTAR index futures, ssrn.com/abstract-1324972, pp.1-19.
77. Gerald D. Gay and Dae Y.Jung (1999), A future look at transaction cost,
short sales restrictions, and futures markets efficiency-the case of Korean
stock index futures, The Journal of Futures Markets, Vol.19, No.2, pp.153-
174.
78. Haiwei, Chen, Honghui Chen and Nicholas Valerio (2003),The effects of
trading halts on price discovery for NYSE stocks, Applied
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275
79. Hsiu- Chuan Lee & Cheng-Yi Chien (2010), Hedging performance and
stock market liquidity- Evidence from the Taiwan futures markets, Asia
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80. Hsiang- Tai Lee (2009) A Copula-based regime-Switching Garch model for
optimal Futures hedging, The Journal of Futures Markets, Vol.29, No.10,
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81. Hongyi Chen Laurence Faung and Jim Wong (2005), Hang Seng index
futures open interest and its relationship with the cash markets, Working
papers series , ssrn.com, pp.1-32.
82. Hung Neng- Lai (2003), Price discovery in hybrid markets:-Further
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83. Henk Berkman, Michel E. Bradbury and Stephen Magan (1997), An
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84. Heng Berkman and Michel E.Bradbery (1996), Empirical evidence on the
corporate use of derivatives, Financial Management, Vol.25, No.2, pp.5-13.
85. Henning. Fock, and Andreas W.Rathge Ber (2007), Debt and Equity as
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86. Hiroto Kuwahara and Jerry A. Marsh (1992), The pricing of Japanese
equity warrants, Management Science, Vol.38, No.1, pp.1610-1641.
87. Henry. T. C. Hu, Bernard Black (2008), Debt, Equity and Hybrid
Decoupling- Governance and systematic risk implications, European
Financial management, Vol.14, pp.1-41.
88. Hsiu-Chuan Lee, Cheng-Yi Chien and Tzu- Hsiang Liao (2009),
Determination of stock closing prices and hedging performance with
stock Indies futures, Accounting and Finance Vol.49.pp. 827-847.
89. Hoanguyen and Robert Faff (2002), On the determinants of derivative usage
by Australian companies, Australian Journal of Management, Vol.27, No.1,
pp.1-24.
90. Illueca M. and Lafuente.J.A (2007), The effect of futures trading on the
distribution of spot index returns implications for CVAR in the Spanish
market, The Journal of Futures Markets, Vol.27, No.9, pp.839-866.
91. IvanSlavchev and Sascha Wilkens (2008), The valuation of multivariate
equity options by means copulas- Theory and application to the European
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276
92. Irena Ivanovic and Peter Howley (2004), Examining the forward pricing
function of the Australian equity index futures contracts, Accounting and
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93. Jian,Yang, David A. Bessler, Hung- Gay Fung (2004), The informational
role of open interest in futures markets, Applied Economics Letters,
Vol.11, pp.569-573.
94. Jang Koo Kang, Chang Joo Lee and Soonhee Lee (2006), An empirical
investigation of the lead lag relations of rerturns and volatility among the
KOSPI-200 spot, futures and option markets and their explanations, Journal
of Emerging Market Finance, 5:3.
95. James Richard Cummings and Alex Frino (2008), Tax effects on the
pricing of Australian stock index futures, Australian Journal of
Management,Vol.33,No.2,pp.331-406.
96. Joshua Turkington and David Walsh (1999), Price discovery and Causality
in the Australian share price index futures markets, Australian Journal of
Management, Vol.24,No.2,pp.97-113.
97. Joseph.K.W.Fung and Paul Draper (1999), Mispricing of index futures
contracts and shorts sales constraints, The Journal of Futures Markets, Vol.19,
No.6, pp.695-715.
98. Jahangir Sultan, Mohammad S. Hasan (2008), The effectiveness of
dynamic hedging- Evidence from selected European stock index futures, The
European Journal of Finance, Vol.14, No.6, pp.469-488.
99. Julio J. Lucia & Angel Pardo (2010), On measuring speculative and hedging
activities in futures markets from volume and open interest, Applied
Economics, 42,pp.1549-1557.
100. John M. Charnes and Paul Koch (2003), Measuring hedge effectiveness for
FAS- 133 compliance, Journal of Applied corporate finance, Vol.15, No.4,
pp.95- 104.
101. Joel Hasbrouck (2001), Intraday price formation in US &equity index
markets, Working Papers Series, ssrn.com, pp.1-28.
102. Joachim Gramming, Michael Melvin and Christian Schlag (2000), Price
discovery in International equity trading, Working Papers Series,
ssrn.com,pp.1-32.
103. Jimmy E. Hilliard and Adam Schwatz (2005), Pricing European and
American derivatives under a jump diffusion process: A Bivariate Tree
Approach, The Journal of Financial and Quantitative analysis, Vol.40,
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277
104. Jouanin.J.F, Rapuch.G, Riboulet. G and Ronncalli (2008), Modeling
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1032561,pp.1-23.
105. Janis Sarra (2008), Credit derivatives market design- Creating fairness and
sustainability, ssrn.com/abstract-1399630,pp.1-18.
106. Jose. M. Marin, Thomas A. Rangel (2006), The use of derivatives in the
Spanish Mutual Fund Industry, ssrn.com, pp.1-50.
107. Jorge A. Chan- Lau and Yoo Sook Kim (2004), Equity pricing, credit
default Swaps and bond spreads in Emerging Markets, International Monitory
Fund , Working Papers Vol.27, pp 1-40.
108. Jean- David Fermanian and Olivier Vigneron (2009), On break even
correlation- The way to price structured credit derivatives by replication,
ssrn.com/abstract-1423872,pp.1-17.
109. John Hull, Mirela Predescu and Alan White (2005), The valuation of
correlation- Dependent Credit Derivatives using a structural model, ssrn.com,
pp.1-13.
110. Jun Liu, Jun Pan (2003), Dynamic derivative strategies, Journal Financial
Economics, Vol.69, pp. 401-430.
111. Jianwei Zhu (2007), Generalised swap market modeland the vluation of
interest rate derivatives, ssrn.com, pp. 1-24.
112. Jue Gergens (2004), Average derivatives for Hazard function, Econometric
Theory, Vol.20, No.3, pp.437-463.
113. Jorge A. Chan- Lau (2006), Is systematic default risk priced in equity
return- A cross sectional analysis using credit derivatives prices, IMF Working
Papers Vol.148, pp.1-16.
114. James Richard Cumming and Alex Frino (2010), Index arbitrage and the
pricing relationship between Australian stock index futures and their
underlying shares, Accounting and Finance, 365, pp. 1429-1467.
115. Jae H. Min and Mohammad Najand (1999), A further investigation of the
lead lag relationship between the spot market and stock index futures:- Early
evidence from Korea, The Journal of Market, Vol.19,No..2, pp.217-232.
116. Jinliang Li (2010), Cash trading and index futures price volatility, The
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117. Kee-Kong Bee, Kalok Chan and Yan- Leung Cheung (1998), The
profitability of Index Futures Arbitrage- Evidence form Bid- Ask Quotes, The
Journal of Futures Markets, Vol.18,No.7,pp.743-763.
278
118. Kedar Nath Mukerjee and Misha R.K (2004), Impact of open interest and
trading volume in option market on underlying cash markets- Empirical
evidence from Indian equity option market, ssrn.com, pp. 1-26.
119. Kapil Gupta and Balwinder Singh (2008), Price discovery and Arbitrage
efficiency of Indian equity futures and cash markets, ssrn.com, pp.1-58.
120. Kapil Gupta and Balwinder Singh (2009), Estimating the optimal hedge
ratio in the Indian equity futures market, The IUP Journal of Financial Risk
Management, Vol.6, No.3&4,pp. 39-98.
121. Kevin Aretz, Sohnke. M. Bartram and Gunter Dufey (2007), Why hedge-
Rationales for corporate hedging and value implications, The Journal of Risk
Finance, Vol.8,No.5, pp.434-449.
122. Kuang- Liang Chan (2010), The optimal value at risk hedging strategy under
bivariate regime switching ARCH frame work, Applied Economics,
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123. Kapil Gupta & Balwinder Singh (2006), An examination of price discovery
and hedging efficiency of equity futures markets, ssrn.com/ abstract-962002,
pp.1-24.
124. Kedar Nath Mukerjee & Mishra. R.K (2006), Lead lag relationship between
equities and stock index futures market and its variation around information
release- Empirical evidence from India, ssrn.com, pp.1-23.
125. Kapil Lodha (2008), Derivatives in India financial market- structure and
financial concerns-An Indian Perspective,ssrn.com/abstract-1114102,pp.1-14.
126. Kingsley Fong, David R. Gallagher and Aaron Ng (2006), The use of
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129. Kregel J.K (1998), Derivatives and Global capital flows application to Asia,
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130. Kapil Gupta adn Balwinder Singh (2009), Information memory and pricing
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markets, Journal of Emerging Market Finance, Vol.8,No.2,pp.191-250.
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131. Karen Benson and Barry Oliver (2004), Management motivation for using
financial derivatives in Australia, Australian Journal of Management, Vol.29,
No.2, pp. 225-242.
132. Lyndon Moore and Steve Jub (2006), Derivative pricing 60 years before
Blasck- Scholes- evidence from the Johannesburg stock exchange, The
Journal of Finance, Vol.61,No.6, pp. 3069-3098.
133. Lech A. Grzelak, Cornelis W. Dosterlee and Sachavan Weeren (2009),
Extension of stochastic volatility equity models with Hull- White interest rates
process, ssrn.com/abstract-1344959,pp.1-26.
134. Luciano Campi and Alessandro Sbuelz (2005), Closed form pricing of
bench mark equity default swaps under the CEV assumptions,
ssrn.com/abstract- 683110,pp.1-20.
135. Laurance Copeland and Kim Lam (2008), Kin Lam (2008), The index
futures markets- Is screen based trading more efficient, ssrn.com,pp.1-21.
136. Louis T.W. Cheng, Li Jiang and Renne.W.Y.NG (2004), Information
content of extended trading for index futures, The Journal of Futures
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137. Lars Norden (2006), Does an index futures split enhance trading activity and
hedging effectiveness of the futures contract, The journal of Futures Markets,
Vol.26,No.12,pp.1169-1194.
138. Leo Chan and Donald Lien (2001), Cash settlement and price discovery in
futures markets, Working papers series, ssrn.com, pp.1-24.
139. Leigh J. Maynard, Sam Hancock and Heath Hoagland (2001),
Performance of Shrimp Futures Markets as price discovery and hedging
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140. Lucjan T. Orlowski (1995),Recent developments in international currency
derivatives market-Implications for Poland, ssrn.com/abstract-1476255,pp.1-
24.
141. Mino Lo Kim, Andrew C. Szakmary and Thomas V. Schward (1999),
Trading costs and price discovery across stock index futures cash
markets, The Journal of Futures Markets, Vol.19, No.4, pp.475-498.
142. Mathew Roope and Ralf Zurbruegg (2002), The intraday price discovery
process between the Singapore exchange and Taiwan futures exchange, The
Journal of Futures Markets, Vol.22, No.3, pp.219-240.
280
143. Martin T. Bohl, Christian A Salm and Michael Schumppli (2010), Price
discovery and investors structure in stock index futures, The journal of
Futures Markets, Vol.00,No.00, pp.1-25.
144. Ming-Chin Lee & Jui- Cheng hung (2007), Hedging for multiperiod
downside risk in the presence of jump dynamics and conditional
heteroskedasticity, Applied Economics, Vol.39, No.18,pp.2403-2412.
145. Manolis G. Kavussanos & Ilias D. Visvikis (2008), Hedging effectiveness of
the Athens stock index futures contracts, The European Journal of Finance,
Vol.14,No.3,pp.243- 270.
146. Manolis G. Kavussanos & Nikos K. Nomikos (2000), Futures hedging when
the structure of the underlying assets changes- the case of the BISFEX
contacts, The journal of Futures Markets, Vol.20,No.8,pp.775-801.
147. Ming-Yuan Leon Li (2010), Dynamic hedge ratio for stock index futures-
application of thresh hold VECM, Applied Economics, Vol.42, No.11,
pp.1403-1417.
148. Maosen Zhong, Alif. Darrat and Rafael Otero (2003), Price discovery and
volatility spill over in the index futures markets- some evidence from Mexico,
Working Papers Series, ssrn.com, pp.1-41.
149. Mayank Joshipura (2000), Does the stock market over react? Empirical
evidence of constrain return from Indian market, ssrn.com, pp.1-22.
150. Michael S. Gibson (2007), Credit derivatives and risk management, Finance
and Economics Discussion Series, Vol.47,pp.1-20.
151. Mia Hinnerich (2005), Pricing equity swaps in an economy with jumps,
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