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Stock index futures arbitrage in the Japanese markets

Author

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  • Brenner, Menachem
  • Subrahmanyam, Marti G.
  • Uno, Jun

Abstract

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Suggested Citation

  • Brenner, Menachem & Subrahmanyam, Marti G. & Uno, Jun, 1989. "Stock index futures arbitrage in the Japanese markets," Japan and the World Economy, Elsevier, vol. 1(3), pages 303-330, July.
    • Handle: RePEc:eee:japwor:v:1:y:1989:i:3:p:303-330
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    Citations

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    Cited by:

    1. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, July.
    2. Sunil S. Poshakwale & Jude W. Taunson & Anandadeep Mandal & Michael Theobald, 2019. "Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 1135-1163, November.
    3. Jieye Qin & Christopher J. Green & Kavita Sirichand, 2019. "Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1269-1300, October.
    4. 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.
    5. Jieye Qin & Christopher J. Green & Kavita Sirichand, 2021. "Comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk and transaction costs” by Peter Miu and Meng‐Lan Yueh: Reply," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2083-2084, December.

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