Degree of market imperfections: evidence from four Asian index futures markets

References

• Baba , Y , Engle , RF , Kraft , DF and Kroner , KF . 1990 . Multivariate simultaneous generalized ARCH , Working Paper San Diego : Department of Economics, University of California .
   Google Scholar
• Bollerslev , T . 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 27 .
   Web of Science ®Google Scholar
• Brooks , C , Garrett , I and Hinich , MJ . 1999 . An alternative approach to investigating lead-lag relationships between stock and stock index futures markets . Applied Financial Economics , 9 : 605 – 13 .
   Google Scholar
• Butterworth , D and Holmes , P . 2002 . Inter-market spread trading: evidence from UK index futures markets . Applied Financial Economics , 12 : 783 – 90 .
   Google Scholar
• Dickey , DA and Fuller , WA . 1981 . Likelihood ratio statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 72 .
   Web of Science ®Google Scholar
• Elliott , G , Rothenberg , TJ and Stock , JH . 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
   Web of Science ®Google Scholar
• Engle , RF and Granger , CWJ . 1987 . Cointegration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 76 .
   Web of Science ®Google Scholar
• Figlewski , S . 1989 . Options arbitrage in imperfect markets . The Journal of Finance , 44 : 1289 – 311 .
   Web of Science ®Google Scholar
• Floros , C and Vougas , DV . 2004 . Hedge ratios in Greek stock index futures market . Applied Financial Economics , 14 : 1125 – 36 .
   Google Scholar
• Fung , JKW and Draper , P . 1999 . Mispricing of index futures contracts and short sales constraints . The Journal of Futures Markets , 19 : 695 – 715 .
   Web of Science ®Google Scholar
• Guermat , C and Harris , RDF . 2002 . Robust conditional variance estimation and value-at-risk . Journal of Risk , 4 : 25 – 41 .
   Google Scholar
• Harris , RDR and Shen , J . 2003 . Robust estimation of the optimal hedge ratio . The Journal of Futures Markets , 23 : 799 – 816 .
   Web of Science ®Google Scholar
• Hsu , H and Wang , J . 2004 . Price expectation and the pricing of stock index futures . Review of Quantitative Finance and Accounting , 23 ( 2 ) : 167 – 84 .
   Google Scholar
• Huber , P . 1981 . Robust Statistics , New York : Wiley .
   Google Scholar
• Kroner , KF and Sultan , J . 1993 . Time-varying distributions and dynamic hedging with foreign currency futures . Journal of Financial and Quantitative Analysis , 28 : 535 – 51 .
   Web of Science ®Google Scholar
• Kwiatkowski , D , Phillips , PCB , Schmidt , P and Shin , Y . 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? . Journal of Econometrics , 54 : 159 – 78 .
   Web of Science ®Google Scholar
• MacKinnon , JG . 1996 . Numerical distribution functions for unit root and cointegration tests . Journal of Applied Econometrics , 11 : 601 – 18 .
   Web of Science ®Google Scholar
• Morgan , JP . 1996 . Riskmetrics™Technical Document , New York : Morgan Guaranty Trust Company .
   Google Scholar
• Park , TH and Switzer , LN . 1995 . Time-varying distributions and the optimal hedge ratios for stock index futures . Applied Financial Economics , 5 : 131 – 7 .
   Google Scholar
• Said , SE and Dickey , DA . 1984 . Testing for unit roots in autoregressive-moving average models of unknown order . Biometrika , 71 : 599 – 607 .
   Web of Science ®Google Scholar
• Taylor , M . 1989 . Covered interest arbitrage and market turbulence . Economic Journal , 99 : 376 – 91 .
   Web of Science ®Google Scholar
• Wang , J and Hsu , H . 2006 . Degree of market imperfection and the pricing of stock index futures . Applied Financial Economics , 16 : 245 – 58 .
   Google Scholar
• Yang , J and Awokuse , TO . 2003 . Asset storability and hedging effectiveness in commodity futures markets . Applied Economics Letters , 10 : 487 – 91 .
   Web of Science ®Google Scholar