STOCK INDEX FUTURES ARBITRAGE IN FINLAND - THEORY AND EVIDENCE IN A NEW MARKET

被引：13
|
作者：
PUTTONEN, V
机构：
[1] School of Business Studies, University of Vaasa, SF-65101 Vaasa
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 1993年 / 68卷 / 03期
关键词：
FINANCE; FUTURES; ARBITRAGE;
D O I：
10.1016/0377-2217(93)90187-R
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper examines the pricing of stock index futures contracts on the new Finnish market. The striking feature of the Finnish market is that there is no institutional framework for short selling of stocks. This has been suggested to be the most important reason for the underpricing futures contracts. Persistent mispricing would, however, imply that also early and delayed unwindings have value, which increases the arbitrage profits. Several rollover profits are reported in this study. This suggests that current stock owners have not yet begun trading on the Finnish futures market on a large scale.
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页码：304 / 317
页数：14
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