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PRODUCT CHARACTERISTICS AND ARBITRAGE IN THE AUSTRALIAN AND NEW ZEALAND WOOL MARKETS*

✍ Scribed by Angel, C. ;Beare, Stephen ;Zwart, A.C.

Book ID
115214455
Publisher
Wiley (Blackwell Publishing)
Year
1990
Tongue
English
Weight
834 KB
Volume
34
Category
Article
ISSN
0004-9395

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## Abstract This paper examines pricing and arbitrage opportunities in the New Zealand bank bill futures market using an intraday data set. The key findings are: (a) the implied forward rate model yields biased estimates of the bill futures yield but the bias is small and not economically significa