IDEAS home Printed from https://ideas.repec.org/a/blg/journl/v7y2012i2p184-196.html
   My bibliography  Save this article

A Decomposition Of Stock Index Futures Mispricing And The Price Effect Of Index Arbitrage

Author

Listed:
  • TUSHAJ Arjin

    (University of Tirana, Albania)

  • SINAJ Valentina

    (University of Tirana, Albania)

Abstract

The importance of the arbitrage theories and the notion of efficient evaluation for the usual market index give a strong motivation for an empirical analysis of the relationship between the current prices and lost future prices. This article developed an empirical system that attempts to characterize the dynamic interactions between these variables. The analysis in this article is motivated from the existence of interrelated markets that trade inter-convertible goods and the common future index. The importance of the mispricing prospective is a whole comprehension of future market efficiency. Mispricing series should be decomposed respectively in equivalency’s relative contribution and future markets. This article attempts to get such decomposition and to bring to light on what was done in the past with the usual future index sources, the mispricing and the market efficiency.

Suggested Citation

  • TUSHAJ Arjin & SINAJ Valentina, 2012. "A Decomposition Of Stock Index Futures Mispricing And The Price Effect Of Index Arbitrage," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(2), pages 184-196, August.
  • Handle: RePEc:blg:journl:v:7:y:2012:i:2:p:184-196
    as

    Download full text from publisher

    File URL: http://eccsf.ulbsibiu.ro/RePEc/blg/journl/7214tushaj&sinaj.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    2. Neal, Robert, 1996. "Direct Tests of Index Arbitrage Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(04), pages 541-562, December.
    3. Dwyer, Gerald P, Jr & Locke, Peter R & Yu, Wei, 1996. "Index Arbitrage and Nonlinear Dynamics between the S&P 500 Futures and Cash," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 301-332.
    4. Chan, Louis K. C. & Lakonishok, Josef, 1993. "Institutional trades and intraday stock price behavior," Journal of Financial Economics, Elsevier, vol. 33(2), pages 173-199, April.
    5. Chung, Y Peter, 1991. " A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability," Journal of Finance, American Finance Association, vol. 46(5), pages 1791-1809, December.
    6. Hansen, Lars Peter & Sargent, Thomas J., 1980. "Formulating and estimating dynamic linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 7-46, May.
    7. Peiers, Bettina, 1997. " Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 52(4), pages 1589-1614, September.
    Full references (including those not matched with items on IDEAS)

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:blg:journl:v:7:y:2012:i:2:p:184-196. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mihaela Herciu). General contact details of provider: http://edirc.repec.org/data/feulbro.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.