Board, John and Sutcliffe, Charles
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
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