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Conference Paper
The globalization of trading and its implications for financial system risk

Proceedings , Paper 244

Journal Article
The relationship between the S&P 500 index and S&P 500 index futures prices

Economic Review , Issue May , Pages 2-10

Journal Article
Fact and fantasy about stock index futures program trading

Business Review , Issue Sep , Pages 13-25

Journal Article
Comparing futures and survey forecasts of near-term Treasury bill rates

Review , Issue May , Pages 33-42

Working Paper
The existence and impact of destabilizing positive feedback traders: evidence from the S&P 500 Index futures market

Finance and Economics Discussion Series , Paper 94-9

Working Paper
Origins of the modern exchange clearinghouse: a history of early clearing and settlement methods at futures exchanges

Working Paper Series, Issues in Financial Regulation , Paper 94-3

Description of margin requirements

Research Paper , Paper 8823

Journal Article
The pricing and hedging of market index deposits

Quarterly Review , Volume 12 , Issue Sum

Working Paper
Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract

Prior research documents unusually high returns on the last trading day of the month and over the next three consecutive trading days. This phenomenon is known as the turn-of-the-month (TOTM) effect. According to Siegel (1998), why these anomalies occur is not well understood, and whether they will continue to be significant in the future is an open question. In this paper, we examine the S&P 500 futures contract for evidence that turn-of-the-month effects have continued. Transaction costs are low for index futures, and the absence of short-sale restrictions makes index futures an attractive ...
FRB Atlanta Working Paper , Paper 2000-11



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Moser, James T. 15 items

Sarkar, Asani 12 items

Kupiec, Paul H. 6 items

Merrick, John J. 6 items

Locke, Peter 5 items

Wu, Lifan 5 items

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Futures 123 items

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Hedging (Finance) 15 items

Stock - Prices 15 items

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