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The intraday ex post and ex ante profitability of index arbitrage · Study

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ArticleThe intraday ex post and ex ante profitability of index arbitrage

Robert C. Klemkosky1991

Article1991

The intraday ex post and ex ante profitability of index arbitrage

Robert C. Klemkosky · Jae Ha Lee

69 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

1976The pricing of commodity contracts 1981The relation between forward prices and futures prices 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index 1984Hedging Performance and Basis Risk in Stock Index Futures 1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices 1981Forward contracts and futures contracts 1990Arbitrage in Stock Index Futures 1981A continuous time equilibrium model of forward prices and futures prices in a multigood economy

Cited by

1995Dax index futures: Mispricing and arbitrage in German markets 2001Index arbitrage with heterogeneous investors: A smooth transition error correction analysis 2002Mean reversion in stock index futures markets: A nonlinear analysis 1993A transactions data analysis of arbitrage between index options and index futures 2000Pricing dynamics of index options and index futures in Hong Kong before and during the Asian financial crisis

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1991General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidencearticle · 9 shared references 1995Stock Volatility and the Levels of the Basis and Open Interest in Futures Contractsarticle · 8 shared references 1993Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data testarticle · 8 shared references 1991A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitabilityarticle · 7 shared references 1994Stock index futures mispricing: profit opportunities or risk premia?article · 7 shared references 1995Dax index futures: Mispricing and arbitrage in German marketsarticle · 7 shared references

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Year1991

Typearticle

Published1991-06-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations69

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.3990110304

openalex_workW2090169692

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2002

The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship

2001The Lead‐Lag Relation Between Spot and Futures Markets Under Different Short‐Selling Regimes

2002Pricing efficiency of the S&P 500 index market: Evidence from the Standard & Poor's Depositary Receipts