Index arbitrage and the pricing relationship between Australian stock index futures and their underlying shares

被引：11

作者：

Cummings, James Richard ^{[1
]}

Frino, Alex ^{[2
]}

机构：

[1] Australian Prudential Regulat Author, Sydney, NSW 2000, Australia

[2] Univ Sydney, Fac Econ & Business, Sydney, NSW 2006, Australia

来源：

ACCOUNTING AND FINANCE | 2011年 / 51卷 / 03期

关键词：

Stock index futures; Arbitrage; Market efficiency; LEAD-LAG RELATIONSHIP; MARKET-EFFICIENCY; RISK; INFORMATION; VOLATILITY; DISCOVERY; CONTRACTS; DYNAMICS; BEHAVIOR; SPREADS;

D O I：

10.1111/j.1467-629X.2010.00365.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the mispricing of Australian stock index futures. Exogenous and endogenous price volatility is confirmed to have a positive impact on the mispricing spread, after filtering out predictable time series components. More accurate pricing associated with surprise trading volume in the underlying stocks is consistent with arbitrageurs acting to narrow price disparities relative to the futures market. Ex-ante interest rate volatility is the primary source of risk faced by arbitrageurs and fluctuations in the transaction cost of opening index arbitrage positions influence the extent to which they drive prices towards theoretical fair values.

引用

页码：661 / 683

页数：23

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