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).
Full text not available from this repository.
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 > HD Industries. Land use. Labor > HD28 Management. Industrial Management
H Social Sciences > HG Finance
|Divisions :||University Structure - Pre August 2011 > School of Management
|Accepted Date and Publication Date:||
|Date Deposited:||03 May 2007|
|Last Modified:||31 Mar 2016 12:04|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
Actions (login required)