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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).

Record type: Monograph (Discussion Paper)


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

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Published date: January 1994


Local EPrints ID: 36044
PURE UUID: 14f97aab-c51f-472b-82b1-0fe11b7be1da

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Date deposited: 03 May 2007
Last modified: 17 Jul 2017 15:46

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Author: John Board
Author: Charles Sutcliffe

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