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The ex ante profitability of index arbitrage in the new Finnish markets

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  • Puttonen, Vesa

Abstract

This paper examines the efficiency of the relatively new Finnish futures market. Firstly, the relevant aspects of prior studies are incorporated into the futures pricing model. Large and persistent violations of the arbitrage conditions are reported in the empirical tests. The results from ex ante tests suggest that restrictions on trading, particularly related to selling stocks, are an important factor affecting the arbitrage process in the Finnish markets.

Suggested Citation

  • Puttonen, Vesa, 1993. "The ex ante profitability of index arbitrage in the new Finnish markets," Scandinavian Journal of Management, Elsevier, vol. 9(Supplemen), pages 117-127.
    • Handle: RePEc:eee:scaman:v:9:y:1993:i:supplement1:p:s117-s127
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    Cited by:

    1. Ostermark, Ralf & Hernesniemi, Hannu, 1995. "The impact of information timeliness on the predictability of stock and futures returns: An application of vector models," European Journal of Operational Research, Elsevier, vol. 85(1), pages 111-131, August.

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    Keywords

    Finance index futures arbitrage;

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