İMKB-30 Endeksi ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi İle Değerlendirilmesi
Abreu, D., Brunnermeier, M. K. (2002), “Synchronisation Risk And Delayed Arbitrage”, Journal of Financial Economics, vol. 60, no. 5, 2471–2511.
Brenner, M., Marti G. Subrahmanyam, Jun Uno, (1989), “The Behavior of Prices in the Nikkei Spot and Futures Market,”, Journal of Financial Economics, vol. 23, issue 2, pages 363-383.
Brooks, C., Garrett, I. (2002), “Can We Explain the Dynamics of the UK FTSE 100 Stock and Stock Indeks Futures Markets”, Journal of Applied Financial Economics, Volume: 12 Issue: 1 pp.25-31.
Cornell ,B., French, K.R. (1983), “The Pricing of Stock Index Futures,”, The Journal of Futures Markets, Volume 3, Issue 1, pages 1–14.
Chen,A., Chianglin, C.,Chung, H. (2001), “Establishing an Index Arbitrage Model by Applying Neural Networks Method- A Case Study of Nikkei 225 Index”, International Journal of Neural Systems, Vol. 11, No. 5, 489-496.
Chung, Y.P. (1991), “A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability”, The Journal of Finance, Vol. 46, No. 5, 1791180
Daigler, R. (1990), “Intraday Stock Index Futures Arbitrage With Time Lag Effects”, Stanford University, Dwyer, G.P., Locke, P., Yu,W. (1996), “Index Arbitrage and Nonlinear Dynamics Between the S&P 500 Futures and Cash”, The Review of Financial Studies Vol. 9, No. 1, 301-332.
Fassas, A.P. (2010), “Mispricing in Stock Index Futures Markets – The Case of Greece”, http://ssrn.com/abstract=1873949
Floros, C. (2009), “Price Discovery in the South African Stock Index Futures Market”, International Research Journal of Finance and Economics, Issue 34, 148-59.
Floros,C., Vougas, D.V. (2008), “The Efficiency of Greek Stock Index Futures Market”, Managerial Finance, Vol. 34, No.7, 498-519.
Floros, C. and Vougas, D.V. (2007), “Lead-Lag Relationship Between Futures and Spot Markets in Greece: 1999 – 2001”, International Research Journal of Finance and Economics, Vol. 7, 168- 174.
Forbush, D. (1989), “Program Trading and Price Movement: Evidence from the October 1987 Market Crash”, Financial Management, Vol. 18, No. 3, 68-83.
Gardbade, K. D., and Silber, W. L. (1983), “Price Movements and Price Discovery in Futures and Cash Markets”, Review of Economics and Statistics,Vol. 65, No. 2, 289-2
Green, C.J., Joujon, E. (2000), “Unified Tests of Causality and Cost of Carry: the Pricing of the French Stock Index Futures Contract”, International Journal of Finance & Economics, Vol. 5, No. 2, 121-140.
Gül,A.B., (2009) “Finansal Sistemde Etkinliğin Arbitraj ile Test Edilmesi-İMKB ve VOB Örneği”, Doktora Tezi, T.C. Marmara Üniversitesi Bankacılık ve Sigortacılık Enstitüsü Bankacılık Ana Bilim Dalı, İstanbul.
Hasan, M. (2005), “An Alternative Approach in Investigating Lead-Lag Relationships Between Stock and Stock Index Futures Markets - A Comment”, Applied Financial Economics Letters, 1(2), 125-130.
Hasbrouck, J. (2003), Intraday Price Formation in U.S. Equity Index Markets, Journal of Finance 58, No.6, 2375-2400.
Hill ,J.M., Jones, F.J. (1988), “Equity Trading, Program Trading, Portfolio Insurance, Computer Trading and All That”, Financial Analysts Journal, 29-38.
Hsu. H., Wang, J. ( 2004), "Price Expectation and the Pricing of Stock Index Futures," Review of Quantitative Finance and Accounting Vol. 23, No.2, 167-184.
Kumar, P., Seppi, D. (1994), “Information and Index Arbitrage”, Journal of Business, Vol. 67, No.4, 481-509.
Lee, J. H. (2005), “Index Arbitrage With the KOSPI 200 Futures”, Sungkyunkwan University.
MacKinlay, C., Ramaswamy, K. (1988), “Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices”, Review of Financial Studies, Vol. 1, No.2, 137-158. Maniar, H., , Maniyar, D., Bhatt, R. (2007), “Arbitrage Opportunities In Intraday Trading Between Futures, Options and Cash Markets-Case Study on NSE India”, 10th Indian Institute of Capital Markets Conference Paper.
Misra, D., Kannan ,R., Misra, S. (2006), “Arbitrage Opportunities in the Futures Market: A Study of NSE Nifty Futures”, 8th Global Conference of Actuaries.
Pizzi, M. A., Economopoulos, A. J., O'Neill, H. M. (1998), “An Examination of the Relationship Between Stock Index Cash and Futures Markets: A Cointegration Approach”, Journal of Futures Markets, Vol. 18, No. 3, 297-305.
Rainish, R.M. (1989), “Implications of Index Arbitrage Trading on Monetary Policy and Financial Valuation”, American Business Review, Vol.7, No.2, 1-5.
Richie, N., Daigler, R., Gleason, K.C. (2007), “Index Arbitrage Between Futures and ETFs: Evidence on the limits to arbitrage from S&P 500 Futures and SPDRs”, Florida Atlantic University.
Schlusche, B. (2009), “Price Formation in Spot and Futures Markets: Exchange Traded Funds vs. Index Futures”, The Journal of Derivatives, Vol. 17, No. 2, 26-40.
Stoll. H.R., Whaley, R.E. (1990), "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Vol. 25, No.4, 441-468. Taylor, N. (2007), “A New Econometric Model of Index Arbitrage”, European Financial Management, Vol. 13, No.1, 159-183.
Tse, Y. (1999), “Price Discovery and Volatility Spillovers in the DJIA Index”, Journal of Futures Markets, Vol. 19, No.8, 911-930.
Ünal, S., Kayalı,M. (2004), “İndeks Hisseler ve İndeks Arbitrajına Etkileri”, Dumlupınar Üniversitesi, Dumlupınar Üniversitesi, Sosyal Bilimler Dergisi, sayı 10, 103-116. Wang, G., Yau, J. (2000), “Trading Volume, Bid-ask Spread and Price Volatility in Futures Markets,”Journal of Futures Markets, Vol.20, No.10, 943-970.
Wang, J., Hsu,H. (2005), “A Fitness Test of the Cost of Carry Model for Stock Index Futures”,The Journal of American Academy of Business, Vol.7, No.2.
Yadav ,P., Pope,P.,(1994), “Stock Index Futures Mispricing, Profit Opportunities, or Risk Premia ?”, Journal of Banking and Finance, Vol.18, No. 5, 921-953.
Yörük, N. (2000), “Finansal Varlık Fiyatlama Modelleri ve Arbitraj Fiyatlama Modelinin İMKB’de Test Edilmesi”, İMKB.
Zhong, M., Darrat, A.F. ,Otero,R. (2004), “Price Discovery and Volatility Spillovers in Index Futures Markets: Some Evidence From Mexico” 8th Global Conference of Actuaries, Journal of Banking and Finance Vol. 28, 3037-3054.