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Identifying arbitrage opportunities on SIBEX market

Author

Listed:
  • Maria-Miruna POCHEA
  • Angela-Maria FILIP

    („Babes-Bolyai” University, Cluj Napoca)

Abstract

The principle of non arbitrage is regarded as a golden rule in financial theory, often representing the starting point in testing market efficiency. In this paper we intend to identify all the cash and carry arbitrage opportunities existing for the DESIF5 futures contract on Sibex during the 3rd of January 2005 and August 26, 2011. Therefore, it is necessary to determine the theoretical futures price and to compare it with the actual futures price. As mentioned already, the main issue that must be considered when initiating an arbitrage is the presence of transaction costs which could dramatically diminish the expected gain. The identification of arbitrage opportunities on the market is a clear sign of the fact that the market is inefficient.

Suggested Citation

  • Maria-Miruna POCHEA & Angela-Maria FILIP, 2012. "Identifying arbitrage opportunities on SIBEX market," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(14), pages 121-130, December.
    • Handle: RePEc:aio:fpvfcf:v:1:y:2012:i:14:p:121-130
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    More about this item

    Keywords

    arbitrage opportunities; futures price; options;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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