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Arbitrage and price behavior of the Nikkei stock index futures

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  • Kian‐Guan Lim

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  • Kian‐Guan Lim, 1992. "Arbitrage and price behavior of the Nikkei stock index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(2), pages 151-161, April.
    • Handle: RePEc:wly:jfutmk:v:12:y:1992:i:2:p:151-161
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    Cited by:

    1. 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.
    2. Lafuente, Juan A. & Novales, Alfonso, 2003. "Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1053-1078, June.
    3. 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.
    4. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2021. "Forty years of the Journal of Futures Markets: A bibliometric overview," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1027-1054, July.
    5. Luke Bortoli & Alex Frino & Elvis Jarnecic, 2004. "Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(1), pages 73-87, August.
    6. Tim Brailsford & Allan Hodgson, 1997. "Mispricing in Stock Index Futures: A Re†Examination Using the SPI," Australian Journal of Management, Australian School of Business, vol. 22(1), pages 21-45, June.
    7. Pascal Alphonse, 2007. "Mispricing Persistence and the Effectiveness of Arbitrage Trading," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 123-156, March-Jun.

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