The behavior of prices in the Nikkei spot and futures market

Menachem Brenner, Marti G. Subrahmanyam, Jun Uno

Research output: Contribution to journalArticle

61 Citations (Scopus)

Abstract

We examine the relation between the prices of Japanese stocks traded on the Tokyo Stock Exchange (TSE) as reflected in the Nikkei Stock Average (NSA) stock index and the prices of the NSA futures contract traded on the Singapore International Monetary Exchange (SIMEX). Since the inception of trading in September 1986, the NSA futures contract has generally sold at a discount relative to its theoretical value. Trading restrictions and transaction costs may explain some of this mispricing, which has been declining over time, as in the U.S. markets.

Original languageEnglish
Pages (from-to)363-383
Number of pages21
JournalJournal of Financial Economics
Volume23
Issue number2
DOIs
Publication statusPublished - 1989
Externally publishedYes

Fingerprint

Futures markets
Futures contracts
Tokyo Stock Exchange
Transaction costs
Discount
Singapore
Mispricing
Stock index

ASJC Scopus subject areas

  • Accounting
  • Strategy and Management
  • Economics and Econometrics
  • Finance

Cite this

The behavior of prices in the Nikkei spot and futures market. / Brenner, Menachem; Subrahmanyam, Marti G.; Uno, Jun.

In: Journal of Financial Economics, Vol. 23, No. 2, 1989, p. 363-383.

Research output: Contribution to journalArticle

Brenner, Menachem ; Subrahmanyam, Marti G. ; Uno, Jun. / The behavior of prices in the Nikkei spot and futures market. In: Journal of Financial Economics. 1989 ; Vol. 23, No. 2. pp. 363-383.
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