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Arbitrage in Stock Index Futures

Michael John Brennan · Eduardo S. Schwartz

225 citations0/0 files storedThe Journal of Business

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

Michael J. Brennan, Eduardo S. Schwartz, Arbitrage in Stock Index Futures, The Journal of Business, Vol. 63, No. 1, Part 2: A Conference in Honor of Merton H. Miller's Contributions to Finance and Economics (Jan., 1990), pp. S7-S31

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References

1981The relation between forward prices and futures prices 1984Hedging Performance and Basis Risk in Stock Index Futures 1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

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2007Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis 1989Options Arbitrage in Imperfect Markets 2000Equilibrium Mispricing in a Capital Market with Portfolio Constraints 1996Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash 1994Information and Index Arbitrage 1991A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability 1992Arbitrage With Holding Costs: A Utility-Based Approach 2011Price discovery in spot and futures markets: a reconsideration

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