The dual listing of stock index futures: arbitrage, spread arbitrage and currency risk
Board, John and Sutcliffe, Charles (1994) The dual listing of stock index futures: arbitrage, spread arbitrage and currency risk. Southampton, UK, University of Southampton, 24pp. (Discussion Papers in Accounting and Management Science, (94-76) ).
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This paper shows that riskless spot-futures arbitrage is impossible if the futures contract multiplier is in a foreign currency from that of the underlying shares. However, a no-arbitrage condition involving only futures contracts (spread arbitrage) exists for such cases when there is also a future with a contract multiplier in the same currency as the underlying shares. Where the contract multiplier of the second future is in a foreign currency, virtually riskless arbitrage is possible. Mispricings from this no-arbitrage condition were investigated for Nikkei Stock Average futures traded in Osaka, Singapore, and Chicago
|Item Type:||Monograph (Discussion Paper)|
|Subjects:||H Social Sciences > HG Finance
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||03 May 2007|
|Last Modified:||02 Mar 2012 12:48|
|Contributors:||Board, John (Author)
Sutcliffe, Charles (Author)
|Publisher:||University of Southampton|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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