The behavior of prices in the Nikkei spot and futures market

Menachem Brenner, Marti G. Subrahmanyam, Jun Uno

研究成果: Article

61 引用 (Scopus)

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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.

元の言語English
ページ(範囲)363-383
ページ数21
ジャーナルJournal of Financial Economics
23
発行部数2
DOI
出版物ステータスPublished - 1989 8
外部発表Yes

ASJC Scopus subject areas

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

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