| Author: | Kempf, A. Korn, O. |
| Title: | Preisführerschaft und imperfekte Arbitrage |
| Journal: | Zeitschrift für Betriebswirtschaft
1996 : VOL. 66:7, p. 837-859 |
| Index terms: | ARBITRAGE EMPIRICAL RESEARCH FUTURES MARKETS FINANCIAL MARKET TRADING |
| Language: | ger |
| Abstract: | The relationship between arbitrage trading and price leadership of a market is analyzed in this study. Using five minute price changes of the DAX and the DAX-futures several hypotheses about the impact of arbitrage trading on the price leadership are tested. The empirical analysis shows a significant effect of arbitrage trading on the price leadership at times when the arbitrage profit exceeds transaction costs. Futhermore, price reactions differ for undervalued and overvalued futures. Finally, the influence of arbitrageurs decreases with time to maturity of the futures contract. Summing up, the results show a significant impact of arbitrage trading on the lead-lag-structure of spot and futures markets. The trading strategy of arbitrageurs seems to be much more complex than assumed in existing studies. |
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