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The Growth and Limits of Arbitrage: Evidence from Short Interest

✍ Scribed by Hanson, Samuel G.; Sunderam, Adi


Book ID
121404074
Publisher
Oxford University Press
Year
2013
Tongue
English
Weight
756 KB
Volume
27
Category
Article
ISSN
0893-9454

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The profitability of index futures arbit
✍ Bae, Kee-Hong; Chan, Kalok; Cheung, Yan-Leung πŸ“‚ Article πŸ“… 1998 πŸ› John Wiley and Sons 🌐 English βš– 265 KB

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