Price efficiency of stock index futures contracts: are there any arbitrage opportunities?
A futures contract is an agreement between a seller and a buyer that calls for the seller to deliver to the buyer a specified quantity and grade of an identified commodity, at a fixed time in the future, and at a price agreed in the contract. Stock index futures contract specify an equity index as t...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universiti Putra Malaysia Press
2000
|
| Online Access: | http://psasir.upm.edu.my/id/eprint/3297/ http://psasir.upm.edu.my/id/eprint/3297/1/Price_Efficiency_of_Stock_Index_Futures_Contracts.pdf |
Similar Items
Arbitrage opportunities and pricing efficiency in Malaysia futures market - Kuala Lumpur stock exchange composite index futures (FKLI)
by: Khong, Jason Jasmy
Published: (2013)
by: Khong, Jason Jasmy
Published: (2013)
The temporal price relationship between the stock index futures and the underlying stock index: evidence from Malaysia
by: Abdullah, Mahdhir, et al.
Published: (2002)
by: Abdullah, Mahdhir, et al.
Published: (2002)
Test of arbitrage pricing theory on the Tehran stock exchange: the case of a shariah-compliant close economy
by: Sabetfar, Pooya, et al.
Published: (2011)
by: Sabetfar, Pooya, et al.
Published: (2011)
Arbitrage Opportunities in the Klibor Futures Market in Malaysia
by: Shahbudin, Shakirah
Published: (2006)
by: Shahbudin, Shakirah
Published: (2006)
Determination of Arbitrage Pricing Factors in the Malaysian Stock Market
by: Zakaria, Azhar
Published: (2006)
by: Zakaria, Azhar
Published: (2006)
Testing the arbitrage pricing theory on the Tehran stock exchange
by: Sabetfar, Pooyar
Published: (2011)
by: Sabetfar, Pooyar
Published: (2011)
The pricing of liquidity and limits to arbitrage
by: Kang, W., et al.
Published: (2014)
by: Kang, W., et al.
Published: (2014)
Can time difference deter arbitrage opportunities?
by: Bogomolov, T., et al.
Published: (2013)
by: Bogomolov, T., et al.
Published: (2013)
Overall Performance of Malaysian Futures Market: Evidence Using Crude Palm Oil and Stock Index Futures Contract
by: Chowdury, Taufiq Hassan Shah
Published: (2001)
by: Chowdury, Taufiq Hassan Shah
Published: (2001)
Are cash flows relevant for stock pricing in Bursa Malaysia?
by: Cheng, Fan Fah, et al.
Published: (2008)
by: Cheng, Fan Fah, et al.
Published: (2008)
New entry, strategic diversity and efficiency in soccer betting markets: the creation and suppression of arbitrage opportunities
by: Grant, Andrew, et al.
Published: (2018)
by: Grant, Andrew, et al.
Published: (2018)
Mean-reverting market model: speculative opportunities and non-arbitrage
by: Dokuchaev, Nikolai
Published: (2011)
by: Dokuchaev, Nikolai
Published: (2011)
Estimating Hedge Ratio and The Hedging
Effectiveness of Stock Index Futures Contract
by: Islam, Mohd Aminul, et al.
Published: (2014)
by: Islam, Mohd Aminul, et al.
Published: (2014)
The Law of One Price and Arbitrage on China's Dual-listings
by: Liu, Li Xian, et al.
Published: (2013)
by: Liu, Li Xian, et al.
Published: (2013)
Efficiency of Malaysia stock index futures market
by: Ng, Chen Wai
Published: (2005)
by: Ng, Chen Wai
Published: (2005)
The optimal hedge ratio and hedging effectiveness of stock index futures
An empirical study of TAIEX index futures contract
by: Nguyen, Thi Mai Hanh
Published: (2014)
by: Nguyen, Thi Mai Hanh
Published: (2014)
The optimal hedge ratio and hedging effectiveness of stock index futures
An empirical study of TAIEX index futures contract
by: Nguyen, Thi Mai Hanh
Published: (2014)
by: Nguyen, Thi Mai Hanh
Published: (2014)
The price-volume relationship of the Malaysian stock index futures market
by: McGowan, Carl B., et al.
Published: (2011)
by: McGowan, Carl B., et al.
Published: (2011)
Mean-reverting discrete time market models: Speculative opportunities and absence of arbitrage
by: Dokuchaev, Nikolai
Published: (2012)
by: Dokuchaev, Nikolai
Published: (2012)
Index-Futures Lead-Lag And Price -Volume Causality: A Study Of The Malaysian Stock Index Futures Market
by: Ramasamy, Suganthi
Published: (2003)
by: Ramasamy, Suganthi
Published: (2003)
Index-Futures Lead-Lag And Price -Volume Causality: A Study Of The Malaysian Stock Index Futures Market
by: Ramasamy, Suganthi
Published: (2003)
by: Ramasamy, Suganthi
Published: (2003)
Pricing efficiency of the 3-month KLIBOR futures contracts: An empirical analysis
by: Razak, Marina Abdul, et al.
Published: (2009)
by: Razak, Marina Abdul, et al.
Published: (2009)
The impact of CSI-300 stock index futures on the volatility of stock price based on panel data analysis
by: HE, RUIZHEN
Published: (2020)
by: HE, RUIZHEN
Published: (2020)
Arbitrage Possibilities in Conflict Situations
by: Klass, Des, et al.
Published: (2004)
by: Klass, Des, et al.
Published: (2004)
Unified Test of Causality and Cost of Carry Model : Pricing of the Kuala Lumpur Composite Index Futures Contract
by: Lau, Kenny Yee Sheng
Published: (2011)
by: Lau, Kenny Yee Sheng
Published: (2011)
Informational efficiency of CPO futures contracts
by: Hassan, Taufik, et al.
Published: (2002)
by: Hassan, Taufik, et al.
Published: (2002)
The international effect of economic crises on the volatility of futures prices and the volatility of underlying spot prices of stock indexes and commodities
by: Tham, Lucas Yew Jun
Published: (2022)
by: Tham, Lucas Yew Jun
Published: (2022)
Study on the Lead and Lag Relationship Between the Kuala Lumpur Stock Exchange Composite Index Futures Contract and its Underlying Kuala Lumpur Stock Exchange Composite Index
by: Abdullah, Mahdhir
Published: (2001)
by: Abdullah, Mahdhir
Published: (2001)
Lead-lag relationship between stock futures index and cash price index in Malaysia / Ahmad Syazwan Hirun Azaman
by: Hirun Azaman, Ahmad Syazwan
Published: (2018)
by: Hirun Azaman, Ahmad Syazwan
Published: (2018)
The subprime crisis and stock index futures markets integration
by: Karim, Bakri Abdul, et al.
Published: (2011)
by: Karim, Bakri Abdul, et al.
Published: (2011)
The subprime crisis and stock index futures markets integration
by: Bakri, Abdul Karim, et al.
Published: (2011)
by: Bakri, Abdul Karim, et al.
Published: (2011)
Research in an emerging Malaysian capital market: a guide to future direction
by: Ramadilli Mohd, Shamsher Mohamad, et al.
Published: (2007)
by: Ramadilli Mohd, Shamsher Mohamad, et al.
Published: (2007)
Price discovery between index futures and spot markets
by: Sifat, Imtiaz Mohamma, et al.
Published: (2019)
by: Sifat, Imtiaz Mohamma, et al.
Published: (2019)
Do the major oil companies anticipate production allocations? An examination of oil and financial market data for arbitrage investment opportunity
by: Simpson, John
Published: (2010)
by: Simpson, John
Published: (2010)
The Relationship of Volatility with Stock Index Option Returns and Prices
by: Tabassum, Saima
Published: (2020)
by: Tabassum, Saima
Published: (2020)
The impact of launching Stock Index Futures on the volatility of the Chinese stock market
by: Liu, Mengxi
Published: (2008)
by: Liu, Mengxi
Published: (2008)
Factors Associated with Stock Price Volatility and Evaluation of Gordon's Share
Valuation Model on the Kuala Lumpur Stock Exchange
by: Mohamad, Shamsher, et al.
Published: (1993)
by: Mohamad, Shamsher, et al.
Published: (1993)
Managerial ability, investment efficiency and stock price crash risk
by: Habib, A., et al.
Published: (2017)
by: Habib, A., et al.
Published: (2017)
Efficiency of conventional versus Islamic banks: evidence from the Middle East
by: Hassan, Taufiq, et al.
Published: (2009)
by: Hassan, Taufiq, et al.
Published: (2009)
The subprime crisis and stock index futures markets integration
by: Bakri, Abdul Karim, et al.
Published: (2011)
by: Bakri, Abdul Karim, et al.
Published: (2011)