search query: @indexterm ARBITRAGE / total: 72
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| Author: | Puttonen, V. |
| Title: | Stock index futures arbitrage in Finland: theory and evidence in a new market |
| Journal: | European Journal of Operational Research
1993 : AUG 13, VOL. 68:3, p. 304-317 |
| Index terms: | FINANCE FUTURES MARKETS ARBITRAGE FINLAND |
| Language: | eng |
| Abstract: | This paper examines the pricing of stock index futures contracts on the new Finnish market. The striking feature of the Finnish market is that there is no institutional framework for short selling of stocks. This has been suggested to be the most important reason for the underpricing futures contracts. Persistent mispricing would, however, imply that both early and delayed unwindings have value, which increases the arbitrage profits. Several rollover profits are reported in this study. |
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