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| Author: | Taylor, N. |
| Title: | A new econometric model of index arbitrage |
| Journal: | European Financial Management
2007 : JAN, VOL. 13:1, p. 159-183 |
| Index terms: | econometric models arbitrage stock markets futures markets trading prices |
| Language: | eng |
| Abstract: | In this paper, a new econometric model of the mispricing associated with differences btw. spot and futures prices is introduced. Based on high frequency data from the S&P 500 spot and futures market, the results show that the nature of the non-linearity in mispricing corresponds to arbitrageur behaviour varying over the trading day. |
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