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Árazási hiba a határidős indexpiacokon
[Mispricing on index futures markets]

Author

Listed:
  • Radnai, Márton

Abstract

Ha a magyar tőkepiac tökéletes lenne, a BUX határidős áraknak a BUX azonnali értékénél az időarányos kockázatmentes kamattal kellene magasabbnak lenniük. A BUX határidős kontraktus bevezetése (1995. március) óta eltelt időben azonban ez az összefüggés általában nem állt fenn - a határidős árak különösen a bevezetés utáni években jelentősen eltértek az elméleti értékektől. Ez a jelenség (az úgynevezett árazási hiba) nem egyedi, a nemzetközi szakirodalomban számos példát találhatunk ugyanerre más határidős indexkontraktusok esetében is. Bár több szerző is a piaci tökéletlenségeket, elsősorban az értékpapír-kölcsönzés intézményének hiányát nevezi meg a jelenség kiváltó okaként, egyikük sem ad választ arra a kérdésre, hogy milyen egyensúlyi összefüggések állnak fenn a leggyakoribb problémák (hitelfelvételi vagy értékpapír-kölcsönzési korlátok) esetén. Cikkünkben egy ilyen modellt építünk és tesztelünk, valamint statisztikailag elemezzük a határidős BUX kontraktus árazási hibáját.* Journal of Economic Literature (JEL) kód: G13, G11

Suggested Citation

  • Radnai, Márton, 2002. "Árazási hiba a határidős indexpiacokon [Mispricing on index futures markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 905-927.
    • Handle: RePEc:ksa:szemle:570
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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