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The behavior of prices in the Nikkei spot and futures market

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  • Brenner, Menachem
  • Subrahmanyam, Marti G.
  • Uno, Jun

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  • Brenner, Menachem & Subrahmanyam, Marti G. & Uno, Jun, 1989. "The behavior of prices in the Nikkei spot and futures market," Journal of Financial Economics, Elsevier, vol. 23(2), pages 363-383, August.
    • Handle: RePEc:eee:jfinec:v:23:y:1989:i:2:p:363-383
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    Citations

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    Cited by:

    1. Bühler, Wolfgang & Kempf, Alexander, 1994. "DAX Index Futures: Mispricing and Arbitrage in German Markets," ZEW Discussion Papers 94-15, ZEW - Leibniz Centre for European Economic Research.
    2. Jieye Qin & Christopher J. Green & Kavita Sirichand, 2023. "Spot–Futures Price Adjustments in the Nikkei 225: Linear or Smooth Transition? Financial Centre Leadership or Home Bias?," JRFM, MDPI, vol. 16(2), pages 1-31, February.
    3. Chris Bilson & Tim Brailsford & Twm Evans, 2005. "The International Transmission of Arbitrage Information Across Futures Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(5‐6), pages 973-1000, June.
    4. Hamao, Yasushi & Mei, Jianping, 2001. "Living with the "enemy": an analysis of foreign investment in the Japanese equity market," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 715-735, October.
    5. Li, Yubin & Zhao, Chen & Zhong, Zhaodong, 2019. "Price discrimination against retail Investors: Evidence from mini options," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 50-64.
    6. Chris Bilson & Tim Brailsford & Twm Evans, 2005. "The International Transmission of Arbitrage Information Across Futures Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(5-6), pages 973-1000.
    7. Jieye Qin & Christopher J. Green & Kavita Sirichand, 2019. "Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1269-1300, October.
    8. Lin, Emily & Lee, Cheng-Few & Wang, Kehluh, 2013. "Futures mispricing, order imbalance, and short-selling constraints," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 408-423.
    9. Berglund, T. & Kabir, M.R., 2003. "What explains the difference between the futures' price and its "fair" value? Evidence from the Euronext Amsterdam," Other publications TiSEM ec81c70e-739d-4b03-be66-2, Tilburg University, School of Economics and Management.
    10. Białkowski, Jędrzej & Perera, Devmali, 2019. "Stock index futures arbitrage: Evidence from a meta-analysis," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 284-294.
    11. Heinz Zimmermann & Claudia Zogg-Wetter, 1997. "Preisbildung am schweizerischen SMI-Futuresmarkt: Arbitrage und dynamische Preisbeziehungen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(II), pages 95-132, June.
    12. Taufiq Hassan & Shamsher Mohamad & Mohamad Ariff & Annuar Md Nassir, 2007. "Stock Index Futures Prices and the Asian Financial Crisis," International Review of Finance, International Review of Finance Ltd., vol. 7(3‐4), pages 119-141, September.
    13. Tim Brailsford & Allan Hodgson, 1997. "Mispricing in Stock Index Futures: A Re†Examination Using the SPI," Australian Journal of Management, Australian School of Business, vol. 22(1), pages 21-45, June.
    14. Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin, 2015. "Common deviation and regime-dependent dynamics in the index derivatives markets," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 1-22.
    15. Hsinan Hsu & Hsing-Chi Wu & Hsien-Yi Lee & Janchung Wang, 2010. "A measurement of the extent of market imperfections between markets and applications," Applied Economics, Taylor & Francis Journals, vol. 42(16), pages 2111-2126.
    16. Jieye Qin & Christopher J. Green & Kavita Sirichand, 2021. "Comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk and transaction costs” by Peter Miu and Meng‐Lan Yueh: Reply," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2083-2084, December.
    17. Bühler, Wolfgang & Kempf, Alexander, 1993. "Der DAX-Future: Kursverhalten und Arbitragemöglichkeiten," ZEW Discussion Papers 93-02, ZEW - Leibniz Centre for European Economic Research.

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