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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Description/Abstract
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) |
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| Related URLs: | |
| 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 |
| Item ID: | 36044 |
| Date Deposited: | 03 May 2007 |
| Last Modified: | 02 Mar 2012 12:48 |
| Contributors: | Board, John (Author) Sutcliffe, Charles (Author) |
| Date: | January 1994 |
| Status: | Published |
| Publisher: | University of Southampton |
| URI: | http://eprints.soton.ac.uk/id/eprint/36044 |
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