## Abstract This paper conducts an empirical analysis of the mispricing of calendar spreads for stock index futures. Using recent data drawn from the Sydney Futures Exchange, a sharp increase in the magnitude of spread mispricing immediately prior to maturity of the near contract is documented. Thi
The pricing and performance of stock index futures spreads
โ Scribed by Randall S. Billingsley; Don M. Chance
- Publisher
- John Wiley and Sons
- Year
- 1988
- Tongue
- English
- Weight
- 881 KB
- Volume
- 8
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
he prices observed for stock index futures have surprised both academics and T practitioners. The price structure, which gives the relation between the futures and spot prices as a function of the time to maturity, is generally flatter than simple arbitrage models predict. In fact, the futures price
n two articles, French (1983a, 1983b) argue that the prices of stock I index futures contracts may be less than predicted by a model which assumes perfect markets and ignores taxes, because futures traders lose the tax timing option. This article presents empirical tests of that conjecture. The res
## Abstract This study attempts to apply the general equilibrium model of stock index futures with both stochastic market volatility and stochastic interest rates to the TAIFEX and the SGX Taiwan stock index futures data, and compares the predictive power of the cost of carry and the general equili
This research was partly funded by a grant from the Coordinating Council of Business Studies at Rutgers University. We gratefully acknowledge the superb research assistance of Steve Alessandrini, and the comments of two anonymous referees. This paper was presented at the 1990 meeting of the Northern
T composite stock index futures prices to associated normative prices as specified by an arbitrage argument while controlling for significant market imperfections. This research contrasts with earlier empirical works in several ways. First, the arbitrage argument is maintained despite the assumption