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Dax index futures: Mispricing and arbitrage in German markets · Study

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ArticleDax index futures: Mispricing and arbitrage in German markets

Wolfgang J. Buhler1995

Article1995

Dax index futures: Mispricing and arbitrage in German markets

Wolfgang J. Buhler · Alexander Kempf

62 citations·0/0 files stored·Journal of Futures Markets

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

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References

1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1990The Dynamics of Stock Index and Stock Index Futures Returns 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market 1984Hedging Performance and Basis Risk in Stock Index Futures 1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices 1990Arbitrage in Stock Index Futures 1983Taxes and the Pricing of Stock Index Futures 1983The pricing of stock index futures

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2003Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market 2008Price discovery in the options markets: An application of put‐call parity 1998Trading System and Market Integration 1997Market Depth and Order Size 2008A High‐Frequency Investigation of the Interaction between Volatility and DAX Returns

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1993Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data testarticle · 10 shared references 2001Index arbitrage with heterogeneous investors: A smooth transition error correction analysisother · 9 shared references 1997Mispricing in Stock Index Futures: A Re‐Examination Using the SPIarticle · 9 shared references 1996Direct Tests of Index Arbitrage Modelsarticle · 8 shared references 2002Mean reversion in stock index futures markets: A nonlinear analysisarticle · 8 shared references 1991A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitabilityarticle · 7 shared references

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Year1995

Typearticle

Published1995-10-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations62

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.3990150706

openalex_workW2054467778

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