TY - JOUR
T1 - The behavior of prices in the Nikkei spot and futures market
AU - Brenner, Menachem
AU - Subrahmanyam, Marti G.
AU - Uno, Jun
PY - 1989/8
Y1 - 1989/8
N2 - 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.
AB - 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.
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U2 - 10.1016/0304-405X(89)90063-9
DO - 10.1016/0304-405X(89)90063-9
M3 - Article
AN - SCOPUS:38249005084
SN - 0304-405X
VL - 23
SP - 363
EP - 383
JO - Journal of Financial Economics
JF - Journal of Financial Economics
IS - 2
ER -