Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

MacKinlay, A. Craig; Ramaswamy, Krishna

doi:10.1093/rfs/1.2.137

Cited by 319 publications

(222 citation statements)

References 14 publications

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“…This indicates persistence of the mispricing and complies with evidence by MacKinlay and Ramaswamy (1988). For the nearest and upcoming contracts the time to maturity coefficient is positive 15 most probably because the time to maturity effect is captured by the maturity adjusted volatility variables.…”

Section: [Tables 5 Here]supporting

confidence: 84%

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Empirical investigation of stock index futures market efficiency: the case of the Athens Derivatives Exchange

Andreou

Pierides

2008

The European Journal of Finance

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Pricing and trading practices in the Athens Derivatives Exchange, a newly established derivatives market, result in significant futures arbitrage profit opportunities for low-cost traders. We find that a large part of the mispricing is due to transaction costs, but additional factors, such as anticipated volatility and time to maturity, also contribute. Ex ante tests reveal significant arbitrage opportunities that could have been exploited up to 30�min after they had been identified. All different tests employed indicate that the derivatives market was inefficient during its early trading history because arbitrage opportunities persisted even after other market impact costs were taken into consideration.market efficiency, market frictions, cost of carry model,

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Section: [Tables 5 Here]supporting

confidence: 84%

“…There is an abundant of empirical evidence regarding the efficiency of well established derivatives markets that operate in developed countries (Modest and Sundaresan, 1983, Figlewski, 1984, MacKinlay and Ramaswamy, 1988, Yadav and Pope, 1990, Bühler and Kemph, 1995, Dwyer, et al, 1996, Neal, 1996, Tse, 2001). …”

Section: Introductionmentioning

confidence: 99%

Empirical investigation of stock index futures market efficiency: the case of the Athens Derivatives Exchange

Andreou

Pierides

2008

The European Journal of Finance

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“…Brennan and Schwartz (1990) find that the mispricing series calculated by MacKinlay and Ramaswamy (1988) is reasonably consistent with an arbitrage model they develop, which emphasizes position limits and offsets of arbitrage positions before contract expiration.…”

Section: Index Arbitrage and Noollnear Dyoamics Between The Sandp 500 Fmentioning

confidence: 53%

Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash

Dwyer¹,

Locke²,

Yu³

1996

Rev. Financ. Stud.

138

120

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“…IS/(tn_I),S(tn_I),B(tn_l) (27) Als Endbedingungen sind zu beachten, daß der Bestand nach Ausfüh-rung der Order x(t N _.) im Zeitpunkt t N gleich null sein muß (28) 16 Zur Dynamischen Optimierung vgl.…”

Section: {G(tn) + J*ks/(tn)s(tn)b(tn»)} J Tn_is/(tn_i)s(tn_i)b(unclassified

Optimale Arbitragestrategien in Terminmärkten

Bühler¹,

Kempf²

1994

Operations Research Reflexionen Aus Theorie Und Praxis

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractThe following article analyses the optimal arbitrage strategy of an investor in the spot and in the futures market. In contrast to the cost of carry model, the arbitrageur is not obliged to hold positions until maturity, but he may unwind arbitrage positions before maturity whenever it is favourable to hirn.

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Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

Cited by 319 publications

References 14 publications

Empirical investigation of stock index futures market efficiency: the case of the Athens Derivatives Exchange

Empirical investigation of stock index futures market efficiency: the case of the Athens Derivatives Exchange

Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash

Optimale Arbitragestrategien in Terminmärkten

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