Stock index futures arbitrage in the Japanese markets

Menachem Brenner*, Marti G. Subrahmanyam, Jun Uno

*この研究の対応する著者

研究成果: Article査読

12 被引用数 (Scopus)

抄録

This study examines the behavior of the prices of the first two futures contracts on Japanese stock price indices to be traded, the Nikkei Stock Average (NSA) contract on the Singapore International Monetary Exchange (SIMEX), and the Osaka Stock Futures 50 (OSF50) contract on the Osaka Securities Exchange (OSE). We find significant departures between the actual prices of the contracts and their 'fair' prices in the early months of trading from June 1987 to June 1988. The NSA contract was dominated by discounts of the actual prices in relation to the 'fair' price while the OSF50 contract was characterized by both premiums and discounts during this period. This suggests the viability of 'cross-spreading' strategies which were analyzed and found to be profitable during much of the period under study.

本文言語English
ページ(範囲)303-330
ページ数28
ジャーナルJapan and The World Economy
1
3
DOI
出版ステータスPublished - 1989 7月
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学
  • 政治学と国際関係論

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