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Stock index futures arbitrage: Evidence from a meta-analysis

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  • Białkowski, Jędrzej
  • Perera, Devmali

Abstract

A number of empirical studies have focused on examining the stock index futures arbitrage. The reported results were not consistent and depended on a number of factors. Our study aims to review the literature on stock index futures arbitrage using meta-regression techniques. In particular, it aims to synthesize estimates on the existence of mispricing and on the relationship between mispricing and time to maturity. We do not find strong evidence on the publication bias in reported estimates on mispricing and estimates on the effect of time to maturity on mispricing. Finally, this study tests whether characteristics of data and publication determine the heterogeneity in the reported estimates on mispricing and time to maturity. The results suggest that these characteristics could explain these differences significantly.

Suggested Citation

  • Białkowski, Jędrzej & Perera, Devmali, 2019. "Stock index futures arbitrage: Evidence from a meta-analysis," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 284-294.
    • Handle: RePEc:eee:finana:v:61:y:2019:i:c:p:284-294
    DOI: 10.1016/j.irfa.2018.09.002
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    More about this item

    Keywords

    Cost-of-carry model; Index arbitrage; Meta-analysis; Publication bias;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology

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