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Der Einfluß von Arbitrageuren auf die Preisführerschaft von Finanzmärkten

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  • Kempf, Alexander
  • Korn, Olaf

Abstract

Die vorliegende Studie untersucht den Zusammenhang zwischen Arbitragetätigkeit und Preisführerschaft eines Marktes anhand Kursänderungen des DAX und des DAX-Futures. Dem Gleichgewichtsmodell von Garbade/Silber (1983) folgend wird der Einfluß (imperfekter) Arbitragetätigkeit auf die Lead-Lag-Struktur modelliert. Die empirischen Analysen zeigen einen signifikanten Einfluß der Fehlbewertung zwischen Kassa- und Futuresmarkt auf die Preisführerschaft, sofern die Fehlbewertung die Transaktionskosten übersteigt. Weiterhin wird gefunden, daß bei Über- und Unterbewertungen des Futures unterschiedlich starke Anpassungsreaktionen der Preise auftreten. Schließlich belegen die Resultate, daß der Einfluß der Arbitrageure auf die Preisführerschaft mit abnemender Restlaufzeit des Futures stärker wird. Insgesamt zeigen die Ergebnisse der Studie einen bedeutenden Einfluß der Arbitrageure auf die Lead-Lag-Struktur zwischen Kassa- und Futuresmarkt. Das Verhalten der Arbitrageure scheint jedoch deutlich komplexer zu sein als in Garbade/Silber (1983) unterstellt.

Suggested Citation

  • Kempf, Alexander & Korn, Olaf, 1995. "Der Einfluß von Arbitrageuren auf die Preisführerschaft von Finanzmärkten," ZEW Discussion Papers 95-02, ZEW - Leibniz Centre for European Economic Research.
    • Handle: RePEc:zbw:zewdip:9502
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    References listed on IDEAS

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