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CFDs, forwards, futures and the cost-of-carry

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dc.contributor.authorDouglas Foster, F.
dc.contributor.authorLee, Adrian D.
dc.contributor.authorLiu, Wai-Man
dc.date.accessioned2018-05-23T05:49:47Z
dc.date.issued2018-05-20
dc.description.abstractWe show that contracts for difference (CFDs) may be viable substitutes for forward contracts and may have some features that are preferable to futures contracts. We develop parity relations between CFDs, forwards, and futures contracts using simple cost-of-carry arguments. We use these parity relations to consider whether exchange listed stock index CFDs might be viable substitutes for exchange listed futures contracts. Using the S&P/ASX 200 stock index we find that listed CFDs (ignoring an open interest charge) generate cash flows similar to listed futures contracts. Our analysis considers stochastic interest rates and uncertain dividend payments by the shares in the index.en_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn0927-538Xen_AU
dc.identifier.urihttp://hdl.handle.net/1885/143584
dc.publisherElsevieren_AU
dc.rightshttp://www.sherpa.ac.uk/romeo/issn/0927-538X/..."Author's post-print on open access repository after an embargo period of between 12 months and 48 months" from SHERPA/RoMEO site (as at 21/05/18). This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/en_AU
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.sourcePacific-Basin Finance Journalen_AU
dc.subjectCFDsen_AU
dc.subjectContracts for differenceen_AU
dc.subjectCost-of-carryen_AU
dc.subjectForward contractsen_AU
dc.subjectFutures contractsen_AU
dc.titleCFDs, forwards, futures and the cost-of-carryen_AU
dc.typeJournal articleen_AU
dcterms.accessRightsOpen Accessen_AU
local.contributor.affiliationLiu, Wai-Man, Research School of Finance, Actuarial Studies and Applied Statistics, The Australian National Universityen_AU
local.contributor.authoruidu4756363en_AU
local.identifier.doi10.1016/j.pacfin.2018.05.004en_AU
local.publisher.urlhttps://www.elsevier.com/en_AU
local.type.statusAccepted Versionen_AU

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