Sell in May and Go Away in the Equity Index Futures Markets

SSRN Electronic Journal ◽

10.2139/ssrn.2721068 ◽

2016 ◽

Author(s):

Constantine N. Dzahabarov ◽

William T. Ziemba

Keyword(s):

Futures Markets ◽

Index Futures ◽

Equity Index Futures ◽

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Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. equity index futures markets

Journal of Futures Markets ◽

10.1002/fut.20160 ◽

2005 ◽

Vol 25 (7) ◽

pp. 679-715 ◽

Author(s):

Aysegul Ates ◽

George H. K. Wang

Keyword(s):

Information Transmission ◽

Futures Markets ◽

Index Futures ◽

Trading Systems ◽

Equity Index Futures ◽

Open Outcry ◽

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Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements

Journal of Business Finance &amp Accounting ◽

10.1111/1468-5957.00219 ◽

1998 ◽

Vol 25 (7&8) ◽

pp. 921-944 ◽

Author(s):

M. Buckle ◽

O. ap Gwilym ◽

S.H. Thomas ◽

M.S. Woodhams

Keyword(s):

Interest Rate ◽

Futures Markets ◽

Index Futures ◽

Macroeconomic Announcements ◽

Equity Index Futures ◽

Empirical Regularities ◽

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Sell-in-May-and-Go-Away in the U.S. Equity Index Futures Markets, 1993–2019

Handbook of Applied Investment Research - World Scientific Handbook in Financial Economics Series ◽

10.1142/9789811222634_0010 ◽

2020 ◽

pp. 173-186

Author(s):

Constantine Dzhabarov ◽

William T. Ziemba

Keyword(s):

Futures Markets ◽

Index Futures ◽

Equity Index Futures ◽

Equity Index ◽

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Daytime vs. Overnight Trading in Equity Index Futures Markets

Accounting and Finance Research ◽

10.5430/afr.v1n2p13 ◽

2012 ◽

Vol 1 (2) ◽

Author(s):

Sandip Dutta ◽

Subhash C Sharma

Keyword(s):

Futures Markets ◽

Index Futures ◽

Equity Index Futures ◽

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Sell in May and go away: the evidence in the international equity index futures markets

Quantitative Finance ◽

10.1080/14697688.2017.1406232 ◽

2017 ◽

Vol 18 (2) ◽

pp. 171-181 ◽

Author(s):

Constantine Dzhabarov ◽

Alexandre Ziegler ◽

William T. Ziemba

Keyword(s):

Futures Markets ◽

Index Futures ◽

Equity Index Futures ◽

International Equity ◽

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The Transaction-by-Transaction Adjustment of Interest Rate and Equity Index Futures Markets to Macroeconomic Announcements

The Journal of Derivatives ◽

10.3905/jod.6.2.7 ◽

1998 ◽

Vol 6 (2) ◽

pp. 7-17 ◽

Author(s):

Owain ap Gwilym ◽

Mike Buckle ◽

Andrew D Clare ◽

Stephen H Thomas

Keyword(s):

Interest Rate ◽

Futures Markets ◽

Index Futures ◽

Macroeconomic Announcements ◽

Equity Index Futures ◽

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Sell-in-May-and-Go-Away in the Equity Index Futures Markets

Wilmott ◽

10.1002/wilm.10628 ◽

2017 ◽

Vol 2017 (92) ◽

pp. 10-15 ◽

Author(s):

Constantine Dzhabarov ◽

Bill Ziemba

Keyword(s):

Futures Markets ◽

Index Futures ◽

Equity Index Futures ◽

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When Size Matters: The Case of Equity Index Futures

SSRN Electronic Journal ◽

10.2139/ssrn.497502 ◽

2003 ◽

Author(s):

George H. K. Wang ◽

Aysegul Ates

Keyword(s):

Index Futures ◽

Equity Index Futures ◽

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Examining the forward pricing function of the Australian equity index futures contract

Accounting and Finance ◽

10.1111/j.1467-629x.2004.00101.x ◽

2004 ◽

Vol 44 (1) ◽

pp. 57-73 ◽

Author(s):

Irena Ivanovic ◽

Peter Howley

Keyword(s):

Index Futures ◽

Futures Contract ◽

Equity Index Futures ◽

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Equity index futures trading and stock price crash risk: Evidence from Chinese markets

Journal of Futures Markets ◽

10.1002/fut.21933 ◽

2018 ◽

Vol 38 (11) ◽

pp. 1313-1333 ◽

Author(s):

Jinyu Liu ◽

Rui Zhong

Keyword(s):

Stock Price ◽

Futures Trading ◽

Index Futures ◽

Equity Index Futures ◽

Chinese Markets ◽

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