Author (Year)	Research Purpose	Model		Estimation	Computer	Data
Author (Year)	Research Purpose	Model		Method	Algorithm	Country	Variables		Frequency & Period
	Panel A: Studies on Index Future Trading
Rahman (2001) [12]	Empirical Tests		GARCH	OLS	-	USA	Stock price return		Min199704- 199706
									Min199804- 199806
Lien et al. (2007) [13]	Empirical Analysis		BGARCH	OLS	-	Australia	Future price, spot price		D19800101- 19991231
Hwang et al. (2000) [14]	Empirical Tests		self-selection model	-	-	UK	Index return/future return/call option vol.		D19840101- 19960329
Pericl et al. (1997) [15]	Empirical Tests		EGARCH	-	-	USA	Dummy		D19530102- 19440909
Zhong et al. (2004) [16]	Empirical Tests		EGARCH	OLS, GMM	-	Mexico	Future/underlying cash price, days to maturity		D19990415- 20020724
Madarassy et al. (2003) [17]	Empirical Tests		GARCH	-	-	USA	Future return		D19820104- 20001231
Matanovic et al. (2012) [18]	Empirical Tests		GARCH	QML	-	Germany	Index return, dummy		D19700101- 20090501
Alexakis (2007) [19]	Empirical Tests		GJR-GARCH	-	-	Athens	Spot price, dummy		D19970923- 20040607
Ülkem et al. (2009) [20]	Model Comparison		ECM, COC, ARIMA, VAR	-	Eviews	Turky	Future/spot price, RF, dividend yield, days to maturity		D20050204- 20080509
Hong et al. (2014) [21]	Model Comparison		GARCH, EGARCH, IGARCH	-	-	USA	Future price		Min20080901- 20090930
	Panel B: Extensions for Fama-French 3-Factor Model
Carhart (1997) [22]	Model Comparison	CAPM, FF, Carhart 4-factor		OLS	-	USA	ER, RP, SMB, HML, Momentum	M196201- 199312
Gharghori et al. (2007) [23]	Default Risk	FF with Default factor		GMM	-	Australia	ER, RP, SMB, HML, DEF	M1996- 200412
He (2008) [24]	Model Comparison	FF, FF with State Switch		OLS	-	China	ER, RP, SMB, HML, State Switch	M199506- 200512
Wang (2012) [25]	Model Extension	FF with PE factor		OLS	Eviews	China	ER, RP, SMB, HML, PE Factor	M200407- 201106
Yang (2013) [11]	Model Extension	FF-EGARCH- SSAEPD		MLE	MATLAB	USA	ER, RP, SMB, HML	M1926- 2011