## Introduction he Nikkei Stock Average Futures contract started trading at the Singapore T International Monetary Exchange (SIMEX) on September 3, 1986. SIMEX became the first futures exchange to trade a stock index futures outside the country where the indexed stocks are traded. The stock index
Execution lags and imperfect arbitrage: The case of stock index arbitrage
β Scribed by Anne Fremault Vila
- Book ID
- 116101739
- Publisher
- Elsevier Science
- Year
- 1993
- Tongue
- English
- Weight
- 497 KB
- Volume
- 43
- Category
- Article
- ISSN
- 0165-1765
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## Abstract This study examines factors affecting stock index spot versus futures pricing and arbitrage opportunities by using the S&P 500 cash index and the S&P 500 Standard and Poor's Depository Receipt (SPDR) ExchangeβTraded Fund (ETF) as βunderlying cash assets.β Potential limits to arbitrage w
he pricing of futures contracts relative to their underlying cash assets via no-T arbitrage relations has been a subject of extensive theoretical and empirical research. Recent studies of arbitrage-enforced relative futures-cash pricing restrictions by for Treasury bill futures,' and by ; Cornell a