## 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
Index futures arbitrage before and after the introduction of sixteenths on the NYSE
β Scribed by Thomas Henker; Martin Martens
- Book ID
- 116641550
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 224 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0927-5398
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Previous studies investigated the profitability of stock index futures based on transaction price data, and could overstate the frequency of arbitrage opportunities and size of arbitrage profits. This article obtains a data base for the Hong Kong index futures and index options market that contains
## Abstract Despite the importance of the London markets and the significance of the relationship for market makers, little published research is available on arbitrage between the FTSEβ100 Index futures and the FTSEβ100 European index options contracts. This study uses the putβcallβfutures parity