bibliography - shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...david g. mc millan...

22
269 Bibliography Published Articles: 1. Andreas A. Jobst (2008), The development of equity derivative markets, International Journal of Emerging Markets, Vol.3, No.2, pp. 163-180 2. Alex Frino, Terry Walter and Andrew West (2000), The lead- lag Relationship between equities and stock index futures markets around information release, The Journal of Futures Markets, Vol.20, No.5, pp. 467- 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 cash markets, The Journal of futures Markets, Vol.24, No.8, pp.755- 784. 5. Amirik Singh and Arun Upneja (2008), The deretminants of the decision to usefinancial derivatives in lodging industry, Journal of Hospitality & Tourrism Research, Vol.32,No.4, pp.423-447. 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 Kong, Journal of Emerging Market Finance , Vol.3,No.3 pp.269-283. 7. Alexander Kurov and Dennis .J .Lasser (2004), Price Dynamics in the Regular and E- Mini Futures Markets, Journal of financilal and Quantitative Analysis, Vol.39, No.2, pp.365- 384. 8. Abhay Abhyankar (1998), Linear and nonlinear Granger Causality- Evidence from the U.K Stock Index Futures markets, The Journal of Futures Markets , Vol.18,, No.5, pp.519-540. 9. Alan E.H.Speight, David G. Mc Millan and Owain A.P.Gwilym (2000), Intraday Volatility Components on FTSE-100 stock index futures, The Journal of Futures Markets, Vol.20, No.5, pp.425-444.

Upload: others

Post on 21-Sep-2020

3 views

Category:

Documents


0 download

TRANSCRIPT

Page 1: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

269

Bibliography

Published Articles:

1. Andreas A. Jobst (2008), The development of equity derivative markets,

International Journal of Emerging Markets, Vol.3, No.2, pp. 163-180

2. Alex Frino, Terry Walter and Andrew West (2000), The lead- lag

Relationship between equities and stock index futures markets around

information release, The Journal of Futures Markets, Vol.20, No.5, pp. 467-

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

cash markets, The Journal of futures Markets, Vol.24, No.8, pp.755-

784.

5. Amirik Singh and Arun Upneja (2008), The deretminants of the decision to

usefinancial derivatives in lodging industry, Journal of Hospitality &

Tourrism Research, Vol.32,No.4, pp.423-447.

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

Kong, Journal of Emerging Market Finance, Vol.3,No.3 pp.269-283.

7. Alexander Kurov and Dennis .J .Lasser (2004), Price Dynamics in the

Regular and E- Mini Futures Markets, Journal of financilal and

Quantitative Analysis, Vol.39, No.2, pp.365- 384.

8. Abhay Abhyankar (1998), Linear and nonlinear Granger Causality- Evidence

from the U.K Stock Index Futures markets, The Journal of Futures Markets,

Vol.18,, No.5, pp.519-540.

9. Alan E.H.Speight, David G. Mc Millan and Owain A.P.Gwilym (2000),

Intraday Volatility Components on FTSE-100 stock index futures, The

Journal of Futures Markets, Vol.20, No.5, pp.425-444.

Page 2: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

270

10. Allan Hodgson and John Okunev (1992), An alternative Approach for

determining hedge ratios for futures contracts, Journal of Business Finance

and Accounting, Vol. 19, No.2, pp. 211-224.

11. Aaron Low, Jayaram Muthuswamy, Sudipto Sarkar and Eric Terry (202)

Multiperiod hedging with futures contracts,The Journal of Futures Markets,

Vol.22, No.12, pp. 1179-1203.

12. Abdulnasser Hatemij. J and Eduardo Roca (2006), Calculating the optimal

hedge ratio- Constant, Time varying and the Kalman Filter approach,

Applied Economics Letters, Vol.13, No.3, pp. 293-299.

13. Amir Alizadesh and Nikos Nomikos (2004), A Markov Regime Switching

approach for hedging stock Indices, The Journal of Futures Markets, Vol.24,

No.7, pp. 649-674.

14. Aysegul Ates and Kate Phylaktis (2010) Related securities and price

discovery on floor versus screen based trading systems-A analysis of the

foreign exchange futures markets, Working papers series, Social Science

Research Net work .com,pp.1-32.

15. Asani Sarkar (2006), Indian derivatives Market, The Exford Companion to

Economics in India, pp.1-9.

16. Andreas.A.Jobst (2007),The development of Equity derivatives Market in

Emerging Asia, ssrn.com/Abstract-952033, pp.1-9.

17. Anurag.N.Banerjee (2007), A method of estimating the average derivatives,

Journal of Econometrics, Vol.136, pp. 65-88.

18. Alexander Van Haastrecht, Roger Lord, Antoon Pelsser and David

Schrager, Pricing long- maturity equity and FX derivatives with stochastic

interest rates and stochastic volatility, ssrn.com,pp.1-28.

19. Anjali Choksi (2010), Derivatives trading in Indian stock Market- Investors

perception, Indian Journal of Finance, pp. 50-58.

20. Asjeet.S. Lamba (2003), An analysis of the dynamic relationships between

South Asia and developed equity markets, ssrn.com, pp. 1-29.

21. Ash Narayan Sha (2009), Stock market seasonality- A study of the Indian

stock market, ssrn.com, pp.1-24.

22. Ash Narayan Sha and G.Omkarnath (2007) Derivatives trading and

volatility, ssrn.com, pp.1-15.

23. Andrew W. Alford and James R. Boatsman (1995), Predicting long term

stock return volatility, implications for accounting and valuation of Equity

Derivatives, The Accounting Review, Vol.70, No.4,pp. 599-618.

Page 3: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

271

24. Ansew.S. Ahmed, Anne Beatty and Corolyn Takeda (1997), Evidence on

interest rate risk management and derivatives usage by commercial

Banks, ssrn.com, pp. 1-27.

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

Markets, The Journal of risk Finance, Vol.10, pp.365-376.

30. Bhaumik.S, Karanasos.M, and A. Kartsaklas (2008), Derivatives trading

and the volume- volatility link in the Indian stock market, ssrn.com/abstract-

1344465,pp.1-34.

31. Brian.J. Henderson and Neil D. Pearson (2004), Patterns in the pay off of

structured equity derivatives, ssrn.com, pp. 1-50.

32. Bernadette Minton, Rene.M.Stulz and Rohan Williamson (2006), How

much do banks use credit derivatives to reduce risk, Fisher College of

Business –working paper series,ssrn.com,Vol.03, No.001, pp. 1-40.

33. Brajesh Kumar & Priyanka Singh (2009), The dynamic relationship

between stock returns- Trading volume and volatility- Evidence from Indian

stock market, ssrn.com pp. 1-28.

34. Brent Mc Clintock (1996),International Fianancial instability and the

financial derivatives Markets, Journal of Economic issue, Vol.30, No.2, pp.5-

13.

35. Bruce Mizrach (2009), Jump and c-Jump risk in subprime home equity

derivatives, ssrn.com/abstract-1089274,pp.1-50.

36. Chetan Swarup, Mudit Metha and Amalan- Chaudhuri (2008), Pricing of

option on Defty, ssrn.com, pp.1-19.

37. Coenrad Vrolijk (1997), Derivatives effect on monetary policy, IMF

Working Papers, Vol.97, No.121, pp. 1-56.

Page 4: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

272

38. Christos Floros and Dimitrios .V Vougas (2008), The efficiency of Greek

stock index futures markets, Managerial Finance, Vol.34, No.7, pp.498-519.

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

exclusionary, Business ethics quarterly, Vol.13,No.4, pp.415-432.

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

Business Review, Vol.6, No.3, pp.229-243.

Page 5: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

273

52. Damiano Brigo and Naoufel El- Bachir (2006) Credit derivatives pricing

with a smile – extended Jump Stochastic Intensity Model, ICMA Centre

discussion papers in France, Vol.13, pp. 1-21.

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

in the swap- the impact of derivatives on the financial performance of the

depository institutions ,Journal of Money, Credit and Banking ,Vol.28, No. 3,

Part.2, pp. 482-497.

61. Fulko Fecht and Hendrik Hakenes (2006), Money market derivatives and

the allocation of liquidity risk in the banking sector, ssrn.com, pp.1-29.

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

case of derivatives, ssrn.com/ abstract-1536608, pp.1-8.

64. Frank H. Easter Brook (2002), Derivative Securities and Corporate

Governance, The University of Chicago Law Review, Vol.69, No.3, pp.733-

747.

Page 6: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

274

65. Frank Shiller, Gerold Seidler and Maximilian Winner (2008), Temparature

model for pricing whether derivatives, ssrn.com/abstract-1289929, pp.1-25.

66. Frederick Abergel (2008), Credit risk in the pricing and hedging of

derivatives, ssrn.com/abstract-1360670, pp1-14.

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

Discovery of Mexican shares, Working papers series, ssrn.com,pp.1-24.

69. Gregory.J Ballentine (1980), Dividend policy and tax incidence in a growing

economy, The Quarterly Journal of Economics, Vol.95, No.4, pp.781-787.

70. Gunter Dufey and Florian Rehm (2000), An introduction of credit

derivatives, University of Michigan Business School,Working papers

series, Vol.00,No.013, pp.1-8.

71. George Tsetsekos and Panos Varangis (1997), The structure of derivative

exchange –lessons from developed and emerging markets, ssrn.com, pp.1- 44.

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

and Dutch firms, Report Series Research in Management, pp. 1-38.

74. Geoffrey B.Goldman (1995), Crafting a suitability requirement for the sale of

over- the counter derivatives-Should regulators punish the wall street

hounds of greed, Columbia Law Review, Vol.95, pp.1112-1159.

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

Economics,Vol.35, pp.91- 97.

Page 7: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

275

79. Hsiu- Chuan Lee & Cheng-Yi Chien (2010), Hedging performance and

stock market liquidity- Evidence from the Taiwan futures markets, Asia

Pacific Journal of Financial Studies, Vol.39, pp.396-415.

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,

pp.946-972.

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

evidence from the London stock exchange, Working Papers series, ssrn,

com, pp.1-19.

83. Henk Berkman, Michel E. Bradbury and Stephen Magan (1997), An

international comparison of derivative use, Financial Management, Vol.26,

No.4, pp.69-73.

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

Derivatives, ssrn.com/abstract-1067701,pp.1-32.

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

derivatives markets, ssrn.com/abstract-1106724,pp.1-26.

Page 8: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

276

92. Irena Ivanovic and Peter Howley (2004), Examining the forward pricing

function of the Australian equity index futures contracts, Accounting and

Finance, Vol.44,pp.57-73.

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,

No.3, pp.671-691.

Page 9: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

277

104. Jouanin.J.F, Rapuch.G, Riboulet. G and Ronncalli (2008), Modeling

dependence for credit derivatives with copulas, ssrn.com/abstract-

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

Journal of Futures Markets, Vol.00,No.00,pp.1-22.

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.

Page 10: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

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,

pp.1-14, i first.

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

derivatives by Investment Managers and Implications for Portfolio

Performance and Risk, ssrn.com, pp.1-48.

127. Kirankumar.K. and Chiranjit Mukopadyay (1991), A case of US and

India, ssrn.com, pp.1-28.

128. Kabir Hassan and Ahamad Khasawneh (2009), The determinants of

activities in U.S commercial banks, net work financial institutes, Working

Papers, Vol.10, pp.1-24.

129. Kregel J.K (1998), Derivatives and Global capital flows application to Asia,

The Jerome Levy Economics Institute and University of Bologna, Working

Paper No. 246,pp.1-24.

130. Kapil Gupta adn Balwinder Singh (2009), Information memory and pricing

efficiency of futures contracts- evidence from the Indian equity futures

markets, Journal of Emerging Market Finance, Vol.8,No.2,pp.191-250.

Page 11: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

279

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

Market, Vol.24,No.9, pp.861-886.

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

mechanism, Aquaculture Economics and Management,Vol.5,(314) pp.115-

128.

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.

Page 12: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

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,

ssrn.com, pp.1-23.

152. Mayank Joshpura (2010), Is an introduction of derivatives trading cause-

increased volatility? Indian Journal of Finance, Vol.3,pp.3-7.

153. Mark Rubinstein (2001), derivatives performance attribution, The Journal of

Financial and Quantitative Analysis, Vol.36,No.1,pp.75-92.

154. Mario.I.Blejer and Liliana Schumacher (2000), Central banks use of

derivatives and other contingent liabilities- Analytical issues and policy

implications, IMF Working Papers Series, pp.1-17.

155. Malik.N.S (2008), Risk return dynamics of derivative based investment

strategies, nseindia.com,pp.1-42.

156. Mustafa K.Yilmaz and Engin Kurun (2007), The impact of derivatives on

financial stability in Turkish economy evidence from the Isbul stock exchange

Page 13: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

281

and TURKDEX, International Research Journal of Finance and Economics,

Issue 9,pp.180-200.

157. Matheiu Hamel, (2008), Get an implied correlation to price equity- interest

rates hybrids, ssrn.com/abstract-1071645,pp.1-18.

158. Myron S. Scholes (19998), Derivatives in a dynamic environment, The

American Economic Review, Vol.88,No.3,pp.350-370.

159. Martin J. Bohl, Christian.A.Salm and Bernd Wilfling (2010), Do

individual Index Futures Investors destabilize the underlying spot market, The

Journal of Futures Market, Vol.00,No.00,pp.1-21.

160. Nivine Richie, Rober T. Daigler and Kimberly.C.Gleason (2008), The

limits to stock index arbitrage-Examining S&P 500 futures and SPRDS, The

Journal of Futures Markets, Vol.28, No.12, pp.1182-1205.

161. Norvald Instefjord (2005), Risk and hedging, do credit derivatives increases

bank risk? Journal of Banking and Finance, Vol.29, pp.333-345.

162. Nageswara Rao.S.V.D. and Sanjay Kumar Thakur (2004), Optimal hedge

ratio and hedging efficiency-An empirical efficiency of hedging in Indian

derivatives markets, Working Papers Series, pp.1-23.

163. Nikola Tarashev and Haibin Zhu (2007), The pricing of correlated default

risk- Evidence from the credit derivatives markets, ssrn.com/abstract-967330,

pp.1-34.

164. Narayan Y. Naik and Pradeep K Yadav (2003), Risk management with

derivatives by dealers and market quality in Govt. bond markets, The Journal

of Finance, Vol.58, No.5,pp.1873-1904.

165. Nicolas Clear and Rajina Gibson (2000), Do newly listed derivatives affects

the market risk premium in Thin stock market? European Finance Review,4,

pp. 97-127.

166. Narender L. Ahuja (2006), Commodity derivatives market in India-

Development, regulation and futures prospects, International Research

Journal of Finance and Economics, Issue 2, pp. 153-162.

167. Obi-Wan Yoda (2004), BIC for derivatives pricing – the case of volatility

derivatives, Risk magazine,pp.1-7.

168. Olivia Ralevski (2008), Hwdging in the art market, creating art derivatives

ssrn.com,pp.1- 58.

169. Pradap Chandra Pati & Prabina Rajib (2010), Volatility persistence and

trading volume in an emerging futures makets-evidence from NSE Nifty stock

index futures, The Journal of Risk Finance,Vol.11,No.3,pp.269-309.

Page 14: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

282

170. Paul Dawson and Sotiris K. Saikouras (2009), The impact of volatility

derivatives on S&P 500 volatility, The Journal of Futures Markets, Vol.29,

No.12,pp.1190-1213.

171. Phil Holmes (1995), Ex ante hedge ratios and the hedging effectiveness of the

FTSE-100 Stock Index Futures Contract, Applied Economics Letters,

Vol.2,pp.56-59.

172. Paul Kofman and Patrick Mc Glenchy (2005), structurally sound dynamic

Index Futures Hedging, The Journal of Futures Markets, Vol.25, No.12,

pp.1173-1202.

173. Piotr Korczak and Kate Phylaktis (2010), Related securities and price

discovery-Evidence form NYSE listed Non.U.S stocks, Working Papers

Series, ssrn.com, pp.1-23.

174. Pradap Chandra Pati (2008), Maturity and Volume effect on the volatility-

An evidence from NSE Nifty futures, ssrn.com/abstract-962319,pp.1-19.

175. Puja Padhi (2009), Derivatives and Asymmetric response of volatility to

news in Indian Stock Market, ssrn.com, pp.1-13.

176. Philippe Ehlers and Philipp.J.Schonbucher (2006), Pricing interest rate-

Sensitive credit portfolio derivatives, Swiss Finance Institute Research

Paper Service, Vol.39,pp.1-34.

177. Premalatha Shenbaragaraman (2004), Do futures and options trading

increasing stock market volatility, ssrm.com, pp. 1-22.

178. Paul Latimer (2009), Regulation of over the counter derivatives in Australia,

Australian Journal of Corporate Law, Vol.23,pp.1-18.

179. Philipp Koziol (2006), Enhancing FX risk management with inflation and

interest rate derivative, ssrn.com,pp.1-14.

180. Patrick.J. Raines and Charles G. Leathers (1994), Financial derivatives

instruments and social ethics, Journal of Business Ethics, Vol.13, No.3,

pp.197-204.

181. Pagat Dare Bryan, Yan Tie Chen and Patrick Phua (2010), index futures

trading, Margin trading and securities lending in China finally launched,

Journal of Investment Compliance, Vol.11, No.2, pp.23-26.

182. Quentin C. Chu and Wen-Liang Gideon Hsieh (2002) Pricing efficiency of

the S&P 500 index market- evidence from the S&P’s depository receipts, The

Journal of Futures Markets, Vol.22, No.9, pp 877-800.

183. Robin K.Chou and George H.K.Wang (2006), Transaction tax and market

quality of the Taiwan stock index futures, ssrn.com, pp.1-21.

Page 15: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

283

184. Roger Craine (1997), Valuing the futures markets performance guarantee,

Macro Economics Dynamics, Vol.1, pp.701-719.

185. Raymond W.So & Yiuman Tse (2004), Price discovery in the Hang Seng

Index Markets, Index, Futures and the Tracker Fund, The Journal of Futures

Markets, Vol.24, No.9, pp.887-907.

186. Rafiqul Bhuyan &Mo Chaudhury (2001), Trading informational content of

open interest –evidence from the US equity options markets, ssrn.com, pp.1-

28.

187. Robert J. Myers (1991), Estimating time- varying optimal hedge ratios on

futures markets, The Journal of Futures Markets, Vol.20.No.1,pp.73-87.

188. Richard D.F. Harris (2006), Hedging and value at risk, The Journal of

Futures Markets, Vol.26,No.4, pp.369-390.

189. Robert T. Daigler (1998), A futures duration convexity hedging method, The

Financial Review, Vol.33,pp.61-80.

190. Robert J. Shiller (2008), Derivatives markets for home prices,

ssrn.com/abstract/ 1114102,pp.1-27.

191. Reuven.S.Avi-Yonah (2008), Enforcing dividend with holding on

derivatives,Tax Note, Vol.1,pp.746751.

192. Refet S. Gurkaynak, Justine Wolfers, Christopher, D.Carroll and Adam

Szeidl (2005),Macroeconomic derivatives- An initial analysis of markets,

based macro forecast, uncertainty and risk, Chicago Journals, pp. 11-64.

193. Ravi Agarwal, Sivakumar, Wasif Mukhtar and Hemanth Abar (2009),

Impact of Derivatives on Indian Stock Market, ssrn.com/abstract-1500327,

pp.1-17.

194. Rafael Mendoza and Vadin Linetsky (2009),Pricing equity default swaps

under the Jump to default extended CEV model, ssrn.com/abstract

1403545,pp.1-23.

195. Rama Cont and Yu Hang Kan (2009), Dynamic hedging of portfolio credit

derivatives, ssrn.com/abstract-1349847,pp.1-27.

196. Robert Almgren (2002), Financial derivatives and partial dfferenctial

equations, The American Mathematical Monthly, Vol.109,No.1,pp.1-12.

197. Robert A. Jones and Christopher Perignon (2009), Derivatives clearing and

systematic risk, ssrn.com /abstract-1095695,pp.1-40.

Page 16: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

284

198. Robert G. Bowman, Kam Fong Chan and Mathew R. Comer (2000),

Contagion in world equity markets and the Asian economic crisis,

Ssrn.com/abstract-965316,pp.1-51.

199. Rene M. Stulz (2004), Should we fear derivatives, The Journal of Economic

Perspectives, Vol.18No.3,pp.173-192.

200. Ronald W.Masulis and Randall S. Thomas (2008), Does private equity

create wealth? Vanderbilt University Law school, Law and economics,

Working papers-20, Vol.76, pp.1-41.

201. Ronald J.Gilson and Charles K.Whitehead (2007), Deconstructing equity,

public ownership, agency cost and complete capital markets, Columbia Law

Review, pp.2-42.

202. Stephane M. Yen. Ming- Hsiang Chen (2010), Open interest, volume and

volatility: evidence from Taiwan futures markets, J.Econ Finan 34: 113-141.

203. Stphen P.Ferris, Hun Y. Park and Kwang Woo Park (2002),Volatility,

open interest, volume and arbitrage: evidence from the S&P 500 futures

market, Applied Economics Letters, Vol.9, pp.369-372.

204. Suchismita Bose (2007) Understanding the volatility characteristics and

transmission effects in the Indian stock index and index futures markets,

Money and Finance,Vol.9, pp.139- 162.

205. Syed Abuzar Moonis and Ajay Shah (2003), Testing for time variation in

Beta in India, Journal of Emerging Markets Finance 2:2.

206. Sangbae Kin, Francies In and Christopher Viney (2001), Modeling linkage

between Australian Financial futures markets, Australian Journal of

Management, Vol.26.No1pp.19-34.

207. Sandeep Srivastava,(2004), Informational content of trading volume and

open interest-An empirical study of stock option market in India, ssrn.com,

pp.1-21.

208. Soumitra N. Bhaduri, S.Raja Sethu Durai (2008), Optimal hedge ratio and

hedging effectiveness of stock index futures evidence from India,

Macroeconomics and Finance in Emerging Market Economics, Vol.1, No.1,

pp.121-134.

209. Sheng –Syan Chen, Cheng- Few Lee and Keshab Shrestha (2004) An

empirical analysis of the relationship between the hedge ratio and hedging

horizon, A simultaneous estimation of the short and long run hedge ratios,

The Journal of Futures markets, Vol.24,No.4,pp.359-386.

Page 17: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

285

210. Sumon Bhaumik and Suchismita Bose (2007), Impact of derivatives trading

on emerging capital markets: A note on expiration day effects in India,

William Davidson Institute working paper No.863,pp.1-19.

211. Suchismita Bose and Dipankor Coondoo (23004),The impact of FII

regulations in India, Money and Finance Vol.4, pp.54-83.

212. Steven Shuye Wang, Wei Li, Louis T.W. Cheng (2008), The impact of H-

share Derivatives on the underlying equity markets, ssrn.com/abstract-

1145306,pp.1-46.

213. Safe Siddiqui (2009), Examining association S&P CNX Nifty and selected

Asian and US. Stock markets, nseindia.com, pp.1-40.

214. Susan Thomas and Ajay Shah (2004), Equity derivatives in India –the state

of the art, ssrn.com,pp.1-23.

215. Sondipon Adhikari (1999), Calculation of derivatives of complex modes

using classical normal modes, Computer and Structures, Vol.77,pp.625-633.

216. Singh Y.P and Megha Agarwal (2009), Impact of Index Futures on the Index

Spot Markets- the Indian evidence, ssrn.com /abstracts-1659565,pp.1-20.

217. Sakthivel P.and B.Kamaih (2009), Futures and trading and spot market

volatility-A case of S&P CNX Nifty index, GITAM Review of International

Business,pp.1-26.

218. Suchismita Bose (2007), Contribution of Indian index futures to price

formation in the stock market, Money and Finance, Vol.2pp.39-56.

219. Sathya Swaroop Debasish (2009), An econometric analysis of the lead lag

relationship between India’s NSE and its derivative contracts, The Journal

of Risk Finance, Vol.10, No.4 pp.350-364.

220. Sung C.Bae, Tack Ho Knon and Jong Wong Park (2004), Futures trading,

Spot Market volatility and market efficiency –the case of the Korean index

Futures Markets, The Journal of Futures Markets,Vol.24, No.12,pp.1195-

1228.

221. Spyros.I. Spyrou (2005) index futures trading and spot price volatility,

evidence from an emerging markets, Journal of Emerging Market

Finance,Vol.4,No.2.pp.151-167.

222. Steven M. Van Putten and Edward D, Graskamp (2002), End of an era?

The futures of stock option, Compensation and Benefits Review,

Vol.34.No.29, pp.29-36.

Page 18: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

286

223. Taufiq Hassan, Shamsheer Mohamad, Mohamad Ariff and Annur

Md.Nassir (2007), Stock Index Futures prices and the Asian financial

crisi ,International Review of Finance, Vol.7, No.4, pp.119-141.

224. Thenmozhi M. (2004), Futures trading, information and spot price volatility

of NSE 50 index futures contract, ssrn.com,pp.1-19.

225. Tony Naughton, Malick O. Sy and Vikash Ramiah (2008), Momentum

strategies for equity versus equity derivatives application to Asia portfolio

management, ssrn.com/abstract-1087252,pp.1-26.

226. Thenmozhi M. and Manish kumar (2008), Dynamic interaction among

mutual fund flows, stock market return and volatility, ssrn.com,pp.1-30.

227. Thulasi Linga Reddy (2009), State of currency derivatives trading in India –

futures Vs forwards, ssrn.com/abstract-1469400,pp.1-7.

228. Tina M Galloway and James M. Miller (1997), index futures trading and

stock return volatility: evidence from the introduction of Mid Cap-400

Index Futures, The Financial Review, Vol.32, No.3, pp.845-866.

229. Udo Broll, Gerhard Schweimayer and Peter Welzel (2003),Managingcredit

risk with credit and macro derivatives, Institute for Volks Wirtschaftslehre,

Vol.252, pp.1-19.

230. Ulkem Basdas (2009), Lead lag relationship between the spot index and

futures price for the Turkish Derivative Exchange, ssrn.com, pp.1-18.

231. Vasileios Kallinterakis and Shikha Khurana (2009), Volatility persistence

and the feedback trading hypothesis- evidence from Indian market,

ssrn.com, pp.1-13.

232. Vipul (2008), Mispricing, volume, volatility and open interest: evidence from

Indian futures market, Journal of Emerging Market Finance, 7:3,263-292.

233. Viral V. Acharya, Sanjive Ranjan Das and Rangarajan, Sundaram K

(2001), Pricing credit derivatives with rating transition, Financial Analyst

Journal, pp.12-26.

234. Viral V. Acharya and Timothy C. Johnson (2005), Insider trading in credit

derivatives, ssrn.com, pp.1-26.

235. Viven Brunel (2001), Pricing credit derivatives with uncertain default

probabilities, ssrn.com, pp.1-29.

236. Waldemar Rotfub (2007), Options, futures, and other derivatives in Russia-

An over view, Discussion paper,Centre for European Economic Research,

059,pp.1-38.

Page 19: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

287

237. Wayne Guay, Kothari S.P (2003), How much do firms hedge with

derivatives, Journal of Financial Economics, Vol.70, pp. 423-461.

238. Wenling Yang, David E. Allen (2004), Multivariate GARCH hedge ratios

and hedging effectiveness in Australian futures markets, Accounting and

Finance, Vol.45,pp.301-321.

239. Xiaowei Ding, Kay Giesecke and Pascal I. Tomecek (2008), Time changed

birth process and multi name credit derivatives, Operations Research, pp.1-32.

240. Ysif E. Simaan & Liuren Wu (2003), Price discovery in the U.S stock option

market, Working papers series, ssrn.com, pp.1-20.

Websites

1.www. wisegeek. Com

2.www.riskmanagementenerging derivative.com

3.www.investopedia.com

4.http://findarticles.com

5.http://finance.indiamart.com

6.http://www.citeman.com

7.http://www.nmce.com

8.http://www.associatedcontent.com

9.http://en.wikipedia.org

10.http://daytrading.about.com

11.http://www.piptrader.com

12.www.commodoties.about.com

13.http://www.futures-trading-mentor.com

14.http://www.investorglossary.com

15.http://futures.tradingchart.com

16.http://www.answers.com

17.http://www.unitedfutures.com

18.http://www.cmegroup.com

19.http://www.linkedin.com

20.http://www.financialstabilityboard.org

21.http://www.bis.org

22.http://rbi.org.in

Page 20: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

288

23.http://financialexpress.com

24.http://www.wolframalpha.com

25.http://quantcorner.wordpress.com

26.http://www.talkstats.com

27.http://www.acted.co.uk

28.http://mansci.journal.informs.org

29.http://www.stata.com

30.http://financetrain.com

31.http://www.informaworld.com

32.http://www.acted.co.uk

33.http://www.thehindubusinessline.in

34.http://rfs.oxfordjournals.org

35.http://daytrading.about.com

36.http://www.tradingpicks.com

37.http://financial-dictionary.thefreedictionary.com

38.http://journals.cambridge.org

39.http://rfs.oxfordjournals.org

40.http://economictimes.indiatimes.com

41.http://www.sharemarketbasics.com

42.http://www.independent.co.uk

43.http://www.abcsofinvesting.net

44.http://financial-dictionary.thefreedictionary.com

45.http://www.mayin.org

46.http://www.economywatch.com

47.http://www.bseindia.com

48.http://moneyterms.co.uk/index-futures

49.http://www.hindu.com

Page 21: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

289

50.http://www.traderji.com

51.http://in.answers.yahoo.com

52.http://invest.yourdictionary.com

53.http://www.financialcrisis2009.org

54.http://www.economywatch.com

55.http://www.karvy.com

56.http://www.riskglossary.com

57.http://www.bis.org

58.http://www.sas.com

59.http://www.margrabe.com

60.http://www.economywatch.com

61.http://www.finpipe.com

62.http://www.hdfcbank.com

63.http://www.finpipe.com

64.http://www.investorwords.com

65.http://www.russell.com

Books

1. Badi H. Baltagi, Econometrics, 3rd Edition, Springer.

2. Chris Brooks, Introductory Econometrics for Finance, Cambridge University

Press, Second Edition.

3. Damoder.N.Gujarathi and Sangeetha, Basic Econometrics, Tata McGraw

Hill Education Private ltd, Fourth edition.

4. John.C.Hull and Sankarshan Basu, Option, Futures and Other Derivatives,

Pearson seventh edition.

5. Richard A. Johnson Dean W. Wichern, Applied Multivariate Statistical

Analysis, PHI Learning, 5th Edition.

Page 22: Bibliography - Shodhgangashodhganga.inflibnet.ac.in/bitstream/10603/5269/17/17...David G. Mc Millan and Numan Ulku (2009) Persistend Mispricing in a recently opened emerging index

290

6. Ruey S. Tsey, Analysis of Financial Time Series, Wiley Series, Second Edition.

7. Tony Lancaster, An Introduction to Modern Bayesian Econometrics, Black

Well Publishing.

8. Walter Enders, Applied Econometric Time Series, Wiley, Second Edition.