haku: @indexterm arbitrage pricing theory / yhteensä: 66
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| Tekijä: | Käppi, J. |
| Otsikko: | Pricing of futures contracts on coupon bonds: Empirical evidence from Finland |
| Lehti: | European Financial Management
1997 : NOV, VOL. 3:3, p. 321-332 |
| Asiasana: | ARBITRAGE PRICING THEORY COINTEGRATION CAUSALITY EMPIRICAL RESEARCH FINLAND |
| Kieli: | eng |
| Tiivistelmä: | This study examines the pricing of the two year old Finnish bond futures markets. The study shows that the market has mispriced the futures contracts during the test period with the futures contracts being underpriced most of the time. The study also measures whether the futures market has prediction power over the bond market. The results suggest that there is a lead-lag relationship between the futures markets and the Finnish bond. |
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