The international transmission of arbitrage information across futures markets

dc.contributor.authorBilson, Chris Men_AU
dc.contributor.authorBrailsford, Timen_AU
dc.contributor.authorEvans, Twmen_AU
dc.date.accessioned2003-06-24en_US
dc.date.accessioned2004-05-19T10:34:08Zen_US
dc.date.accessioned2011-01-05T08:37:15Z
dc.date.available2004-05-19T10:34:08Zen_US
dc.date.available2011-01-05T08:37:15Z
dc.date.created2002en_US
dc.date.updated2015-12-11T10:50:16Z
dc.description.abstractThe 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 of stock index futures mispricing across Australia, the UK and USA. Using time zone differences, tests are conducted for the daily transmission of arbitrage information. The results reveal the relationship between mispricing series is bi-directional. Based on this finding, a trading strategy is employed to examine the economic significance of apparent profits. The results show that some profits are possible but that a long horizon, probably beyond the scope of most traders, is required to exploit the spillover information.en_AU
dc.format.extent30 pages
dc.format.mimetypeapplication/pdfen_US
dc.identifier.urihttp://hdl.handle.net/1885/40595en_US
dc.language.isoen_AUen_US
dc.publisherCanberra, ACT: School of Finance and Applied Statistics, The Australian National University.en_AU
dc.subjectstock index futures; futures mispricing; spillovers; international market transmission
dc.titleThe international transmission of arbitrage information across futures markets
dc.typeWorking/Technical Paper
dcterms.abstractOpen Accessen_AU
local.citationWorking Paper Series in Finance (School of Finance and Applied Statistics, The Australian National University): 02-02en_AU
local.contributor.affiliationANUen_US
local.contributor.affiliationSchool of Finance and Applied Statisticsen_US
local.contributor.authoruidBilson, Chris, u9618214
local.description.refereednoen_US
local.identifier.absfor150201 - Finance
local.identifier.ariespublicationMigratedxPub9784
local.identifier.citationmonthsepen_US
local.identifier.citationyear2002en_US
local.identifier.eprintid1484en_US
local.identifier.uidSubmittedByMigrated
local.rights.ispublishednoen_US
local.type.statusPublished Versionen_AU

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