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)
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
ePrint ID: 36044
Date Deposited: 03 May 2007
Last Modified: 27 Mar 2014 18:22
URI: http://eprints.soton.ac.uk/id/eprint/36044

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