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| Tekijä: | Bilson, C. Brailsford, T. Evans, T. |
| Otsikko: | The international transmission of arbitrage information across futures markets |
| Lehti: | Journal of Business Finance and Accounting
2005 : JUN/JUL, VOL 32:5-6, p. 973-1000 |
| Asiasana: | Financial markets Futures markets Stock markets Arbitrage Information Pricing International Models |
| Kieli: | eng |
| Tiivistelmä: | This paper examines whether deviations from a domestic spot-futures relation, as identified through mispricing (henceforth as: m-p.) series (here as: m-p-srs.) in stock index futures (here as: st-ind-futs.), spillover (here as: sp-o./sp-os.) international boundaries. Such sp-os. suggest that information from a m-p-srs. in one market conveys a signal of similar m-p. in another one. With arbitrage traders and without market frictions m-p-srs. should be independent across international boundaries. This study employs a VAR analysis of st-ind-futs. m-p. across three futures markets, that is, Australia, the U.K. and the U.S. Using time zone differences, tests are conducted for the daily transmission of arbitrage information. The results reveal the relationship btw. m-p-srs. is bi-directional. Based on this, a trading strategy is employed to examine the economic significance of apparent profits. The results show that some profits are possible after transaction costs but that a long horizon is required to exploit the sp-o. information. |
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