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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
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/40595

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