Arbitrage and Price Behavior of the Nikkei Stock Index Futures
Publication Type
Journal Article
Publication Date
4-1992
Abstract
Examines the Nikkei stock average futures contract using intraday transactions data. Limitations in arbitrage opportunities; Properties of the S&P 500 spot-futures prices; Evaluation on the price behavior of the spot index and futures.
Discipline
Business
Research Areas
Finance
Publication
Journal of Futures Markets
Volume
12
Issue
2
First Page
151
Last Page
161
ISSN
0270-7314
Identifier
10.1002/fut.3990120204
Citation
Lim, Kian Guan.
Arbitrage and Price Behavior of the Nikkei Stock Index Futures. (1992). Journal of Futures Markets. 12, (2), 151-161.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/2251