{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,2,2]],"date-time":"2024-02-02T07:57:30Z","timestamp":1706860650182},"reference-count":39,"publisher":"Elsevier","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[1995]]},"DOI":"10.1016\/s0927-0507(05)80054-4","type":"book-chapter","created":{"date-parts":[[2005,4,18]],"date-time":"2005-04-18T19:58:53Z","timestamp":1113854333000},"page":"315-339","source":"Crossref","is-referenced-by-count":5,"title":["Chapter 10 Program trading and stock index arbitrage"],"prefix":"10.1016","author":[{"given":"Linda","family":"Canina","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Stephen","family":"Figlewski","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"78","reference":[{"key":"10.1016\/S0927-0507(05)80054-4_bib1","series-title":"Working Paper 92-33","article-title":"Multi-market trading and patterns in volume and mispricing: The case of the Nikkei Stock Index futures market","author":"Bacha","year":"1993"},{"key":"10.1016\/S0927-0507(05)80054-4_bib2","series-title":"Futures markets, regulation and volatility: The case of the Nikkei Stock Index futures market","author":"Bacha","year":"1994"},{"key":"10.1016\/S0927-0507(05)80054-4_bib3","series-title":"Report of the Presidential Task Force on market mechanisms","author":"Brady","year":"1988"},{"issue":"1","key":"10.1016\/S0927-0507(05)80054-4_bib4","doi-asserted-by":"crossref","first-page":"S7","DOI":"10.1086\/296491","article-title":"Arbitrage in stock index futures","volume":"63","author":"Brennan","year":"1990","journal-title":"J. Bus."},{"key":"10.1016\/S0927-0507(05)80054-4_bib5","doi-asserted-by":"crossref","first-page":"14","DOI":"10.2469\/faj.v46.n2.14","article-title":"Arbitrage opportunities in the Japanese stock and futures markets","volume":"46","author":"Brenner","year":"1989","journal-title":"Financ. Anal. J."},{"key":"10.1016\/S0927-0507(05)80054-4_bib6","doi-asserted-by":"crossref","first-page":"363","DOI":"10.1016\/0304-405X(89)90063-9","article-title":"The behavior of prices in the Nikkei spot and futures markets","volume":"23","author":"Brenner","year":"1989","journal-title":"J. Financ. Econ."},{"key":"10.1016\/S0927-0507(05)80054-4_bib7","series-title":"Japan and the World Economy 1","first-page":"303","article-title":"Stock index-futures arbitrage in the Japanese markets","author":"Brenner","year":"1989"},{"key":"10.1016\/S0927-0507(05)80054-4_bib8","series-title":"Financial Options: From Theory to Practice","first-page":"516","article-title":"Estimating volatility","author":"Brown","year":"1990"},{"key":"10.1016\/S0927-0507(05)80054-4_bib9","doi-asserted-by":"crossref","first-page":"1791","DOI":"10.1111\/j.1540-6261.1991.tb04644.x","article-title":"A transactions data test of stock index futures market efficiency and index arbitrage profitability","author":"Chung","year":"1991","journal-title":"J. Finance"},{"key":"10.1016\/S0927-0507(05)80054-4_bib10","article-title":"Index-futures arbitrage in Japan","author":"Chung","year":"1994","journal-title":"University of California, Riverside, working paper"},{"key":"10.1016\/S0927-0507(05)80054-4_bib11","doi-asserted-by":"crossref","first-page":"611","DOI":"10.2307\/1912150","article-title":"Capital market equilibrium with personal tax","volume":"51","author":"Constantinides","year":"1983","journal-title":"Econometrica"},{"key":"10.1016\/S0927-0507(05)80054-4_bib12","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1002\/fut.3990030102","article-title":"Taxes and the pricing of stock index futures: Empirical results","volume":"3","author":"Cornell","year":"1985","journal-title":"J. Futures Markets"},{"key":"10.1016\/S0927-0507(05)80054-4_bib13","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1002\/fut.3990030102","article-title":"The pricing of stock index futures","volume":"3","author":"Cornell","year":"1983","journal-title":"J. Futures Markets"},{"key":"10.1016\/S0927-0507(05)80054-4_bib14","doi-asserted-by":"crossref","first-page":"675","DOI":"10.1111\/j.1540-6261.1983.tb02496.x","article-title":"Taxes and the pricing of stock index futures","volume":"38","author":"Cornell","year":"1983","journal-title":"J. Finance"},{"key":"10.1016\/S0927-0507(05)80054-4_bib15","doi-asserted-by":"crossref","first-page":"657","DOI":"10.1111\/j.1540-6261.1984.tb03654.x","article-title":"Hedging performance and basis risk in stock index futures","volume":"39","author":"Figlewski","year":"1984","journal-title":"J. Finance"},{"key":"10.1016\/S0927-0507(05)80054-4_bib16","doi-asserted-by":"crossref","first-page":"43","DOI":"10.2469\/faj.v40.n4.43","article-title":"Explaining the early discounts on stock index futures: The case of disequilibrium","author":"Figlewski","year":"1984","journal-title":"Financ. Anal. J."},{"key":"10.1016\/S0927-0507(05)80054-4_bib17","article-title":"Forecasting volatility with historical data","author":"Figlewski","year":"1994","journal-title":"New York University Salomon Center, working paper"},{"key":"10.1016\/S0927-0507(05)80054-4_bib18","doi-asserted-by":"crossref","first-page":"41","DOI":"10.3905\/jpm.1988.409134","article-title":"How to profit from program trading","volume":"14","author":"Finnerty","year":"1988","journal-title":"J. Portfolio Manage."},{"key":"10.1016\/S0927-0507(05)80054-4_bib19","doi-asserted-by":"crossref","first-page":"275","DOI":"10.1086\/296433","article-title":"An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies","volume":"61","author":"Grossman","year":"1988","journal-title":"J. Bus"},{"key":"10.1016\/S0927-0507(05)80054-4_bib20","first-page":"413","article-title":"Program trading and market volatility: A report on interday relationships","volume":"July\/August","author":"Grossman","year":"1988","journal-title":"Financ. Anal. J."},{"key":"10.1016\/S0927-0507(05)80054-4_bib21","article-title":"Stock index futures arbitrage in Germany: The behavior of the DAX index futures prices","author":"Gr\u00fcnbichler","year":"1993","journal-title":"University of Graz, Austria, working paper"},{"issue":"1","key":"10.1016\/S0927-0507(05)80054-4_bib22","first-page":"180","article-title":"Potential rewards from path-dependent index arbitrage with S&P 500 futures","volume":"10","author":"Habeeb","year":"1991","journal-title":"Rev. Futures Markets"},{"key":"10.1016\/S0927-0507(05)80054-4_bib23","series-title":"Working Paper, #90-03","article-title":"Program trading and intraday volatility","author":"Harris","year":"1992"},{"key":"10.1016\/S0927-0507(05)80054-4_bib24","doi-asserted-by":"crossref","first-page":"137","DOI":"10.1093\/rfs\/1.2.137","article-title":"Index-futures arbitrage and the behavior of stock index futures prices","volume":"1","author":"MacKinlay","year":"1988","journal-title":"Rev. Financ. Studies"},{"key":"10.1016\/S0927-0507(05)80054-4_bib25","first-page":"248","article-title":"Circuit breakers in the S&P 500 futures market: Their effect on volatility and price discovery in October 1989","volume":"10","author":"McMillan","year":"1991","journal-title":"Rev. Futures Markets"},{"key":"10.1016\/S0927-0507(05)80054-4_bib26","doi-asserted-by":"crossref","first-page":"101","DOI":"10.1002\/fut.3990090203","article-title":"Early unwindings and rollovers of stock index arbitrage programs: Analysis and implications for predicting expiration day effects","volume":"9","author":"Merrick","year":"1989","journal-title":"J. Futures Markets"},{"key":"10.1016\/S0927-0507(05)80054-4_bib27","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/0927-538X(93)90013-8","article-title":"The economics and politics of index arbitrage in the U.S., and Japan","volume":"1","author":"Miller","year":"1993","journal-title":"Pac.-Basin Finance J."},{"key":"10.1016\/S0927-0507(05)80054-4_bib28","doi-asserted-by":"crossref","first-page":"15","DOI":"10.1002\/fut.3990030103","article-title":"The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence","volume":"3","author":"Modest","year":"1983","journal-title":"J. Futures Markets"},{"key":"10.1016\/S0927-0507(05)80054-4_bib29","doi-asserted-by":"crossref","first-page":"64","DOI":"10.3905\/jod.1993.407878","article-title":"Is program trading destabilizing?","volume":"1","author":"Neal","year":"1993","journal-title":"J. Derivatives"},{"key":"10.1016\/S0927-0507(05)80054-4_bib30","doi-asserted-by":"crossref","first-page":"15","DOI":"10.3905\/jod.1994.407895","article-title":"The impact of short sales constraints on stock index futures prices: Direct empirical evidence from FTSE 100 futures","volume":"1","author":"Pope","year":"1994","journal-title":"J. Derivatives"},{"key":"10.1016\/S0927-0507(05)80054-4_bib31","first-page":"15","article-title":"The international crash of October 1987","volume":"46","author":"Roll","year":"1988","journal-title":"Financ. Anal. J."},{"key":"10.1016\/S0927-0507(05)80054-4_bib32","doi-asserted-by":"crossref","first-page":"6","DOI":"10.3905\/jod.1993.407871","article-title":"Index arbitrage profitability","volume":"1","author":"Sofianos","year":"1993","journal-title":"J. Derivatives"},{"issue":"4","key":"10.1016\/S0927-0507(05)80054-4_bib33","doi-asserted-by":"crossref","first-page":"391","DOI":"10.1002\/fut.3990080402","article-title":"Index futures, program trading and stock market procedures","volume":"8","author":"Stoll","year":"1988","journal-title":"J. Futures Markets"},{"key":"10.1016\/S0927-0507(05)80054-4_bib34","series-title":"New York University Monograph Series in Finance and Economics","article-title":"Expiration day effects of index options and futures","author":"Stoll","year":"1986"},{"key":"10.1016\/S0927-0507(05)80054-4_bib35","doi-asserted-by":"crossref","first-page":"16","DOI":"10.2469\/faj.v43.n2.16","article-title":"Program trading and expiration-day effects","author":"Stoll","year":"1987","journal-title":"Financ. Anal. J."},{"issue":"1","key":"10.1016\/S0927-0507(05)80054-4_bib36","doi-asserted-by":"crossref","first-page":"S165","DOI":"10.1086\/296499","article-title":"Program trading and individual stock returns: Ingredients of the triple-witching brew","volume":"63","author":"Stoll","year":"1990","journal-title":"J. Bus"},{"key":"10.1016\/S0927-0507(05)80054-4_bib37","doi-asserted-by":"crossref","first-page":"1283","DOI":"10.1111\/j.1540-6261.1992.tb04658.x","article-title":"Arbitrage with holding costs: A utility-based approach","volume":"4","author":"Tuckman","year":"1992","journal-title":"J. Finance"},{"key":"10.1016\/S0927-0507(05)80054-4_bib38","article-title":"Holding costs and equilibrium arbitrage","author":"Tuckman","year":"1993","journal-title":"New York University Salomon Center, working paper"},{"key":"10.1016\/S0927-0507(05)80054-4_bib39","doi-asserted-by":"crossref","first-page":"573","DOI":"10.1002\/fut.3990100603","article-title":"Stock index futures pricing: International evidence","volume":"10","author":"Yadav","year":"1990","journal-title":"J. Futures Markets"}],"container-title":["Handbooks in Operations Research and Management Science","Finance"],"original-title":[],"deposited":{"date-parts":[[2019,2,14]],"date-time":"2019-02-14T04:09:46Z","timestamp":1550117386000},"score":1,"resource":{"primary":{"URL":"https:\/\/linkinghub.elsevier.com\/retrieve\/pii\/S0927050705800544"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1995]]},"references-count":39,"URL":"https:\/\/doi.org\/10.1016\/s0927-0507(05)80054-4","relation":{},"ISSN":["0927-0507"],"issn-type":[{"value":"0927-0507","type":"print"}],"subject":[],"published":{"date-parts":[[1995]]}}}