## 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
Stock index futures and index arbitrage in a rational expectations model
β Scribed by A. Fremault
- Publisher
- Elsevier Science
- Year
- 1993
- Tongue
- English
- Weight
- 200 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0167-6687
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract Assuming the absence of market frictions, deterministic interest rates, and certainty in dividend payouts from the stocks in the index basket, an arbitrageur can lock in the profit of a positive (negative) arbitrage basis in a stock index futures by adopting a short (long) futures strat
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
## 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
We are grateful to Louis Ederington, Scott Linn, and Lee Willinger for helpful discussions. This article was presented at the 1992 F.M.A. meetings and we thank Gary Gastineau and Tom Miller for their comments. The Center for Financial Studies at the University of Oklahoma provided financial support
## Abstract In this study we examine how volatility and the futures risk premium affect trading demands for hedging and speculation in the S&P 500 Stock Index futures contracts. To ascertain if different volatility measures matter in affecting the result, we employ three volatility estimates. Our e