Skip navigation
Skip navigation

The international transmission of arbitrage information across futures markets

Bilson, Chris M; Brailsford, Tim; Evans, Twm

Description

The paper examines whether deviations from a domestic spot-futures relation, as identified through mispricing series in stock index futures, spillover international boundaries. Such spillovers suggest that information from a mispricing series in one market conveys a signal of similar mispricing in another market. In the presence of arbitrage traders and in the absence of market frictions, mispricing series should be independent across international boundaries. The study employs a VAR analysis...[Show more]

CollectionsANU Research Publications
Date published: 2002
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/40595
http://digitalcollections.anu.edu.au/handle/1885/40595
Source: Journal of Business Finance and Accounting
DOI: 10.1111/j.0306-686X.2005.00619.x

Download

File Description SizeFormat Image
1484-01.2003-06-19T06:23:11Z.xsh364 BEPrints MD5 Hash XML
Workingpaper02-02.pdf97.43 kBAdobe PDFThumbnail


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  20 July 2017/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator