The behavior of prices in the Nikkei spot and futures market

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

67 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)363-383
ページ数21
ジャーナルJournal of Financial Economics
23
2
DOI
出版ステータスPublished - 1989 8月
外部発表はい

ASJC Scopus subject areas

  • 会計
  • 財務
  • 経済学、計量経済学
  • 戦略と経営

フィンガープリント

「The behavior of prices in the Nikkei spot and futures market」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル