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Futures and forward price differential and the effect of marking-to-market: Australian evidence

✍ Scribed by Lakshman A. Alles; Phoebe P.K. Peace

Book ID
108514110
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
410 KB
Volume
41
Category
Article
ISSN
0810-5391

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However, several previous studies have focused on market imperfections (transactions costs, taxes) or market inefficiency 10 explain the differences between futures and forward prices. See Capozza and Cornell (1979), B n g and Rasche (1978), Burger, Lang, and Rasche (1977), and Kane (1980) for marke

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ike many other futures contracts, the Treasury Bond (T-Bond) futures contract L allows the holder of a short position to satisfy the contract by delivering one of the variety of T-Bonds on one of a number of delivery dates. Accordingly, the traditional approach to pricing such contracts has concentr