This article examines if changes in short sales constraints affect the extent to which index futures contracts are mispriced. In particular, the study analyzes the mispricing of the Hong Kong Hang Seng Index futures contracts. Tests are conducted over three distinct regulatory regimes relating to th
Futures mispricing, order imbalance, and short-selling constraints
โ Scribed by Emily Lin; Cheng-Few Lee; Kehluh Wang
- Book ID
- 119263027
- Publisher
- Elsevier Science
- Year
- 2013
- Tongue
- English
- Weight
- 290 KB
- Volume
- 25
- Category
- Article
- ISSN
- 1059-0560
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๐ SIMILAR VOLUMES
This article highlights the impact of short selling restrictions and early unwinding opportunities on the relation between futures and spot prices. Within a multiperiod equilibrium model, the influence of optimal arbitrage trading on the mispricing is analyzed. Results concerning trade volume and le
## Abstract This study examines whether the aggregate order imbalance for index stocks can explain the arbitrage spread between index futures and the underlying cash index. The study covers the period of the Asian financial crisis and includes wide variations in order imbalance and the indexfutures
## Abstract This study uses transaction records of index futures and index stocks, with bid/ask price quotes, to examine the impact of stock market order imbalance on the dynamic behavior of index futures and cash index prices. Spurious correlation in the index is purged by using an estimate of the