Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Canina, Linda | - |
dc.contributor.author | Figlewski, Stephen | - |
dc.date.accessioned | 2008-05-30T11:43:52Z | - |
dc.date.available | 2008-05-30T11:43:52Z | - |
dc.date.issued | 1994 | - |
dc.identifier.uri | http://hdl.handle.net/2451/27224 | - |
dc.description.abstract | Stock index futures and program trading are among the most important financial market innovations of the 1980s. This chapter surveys the literature and provides an overview of the somewhat controversial area of index arbitrage. We begin with a description of how index futures work, how they should be priced in equilibrium according to the “cost of carry” model, and how index arbitrage works to enforce the theoretical pricing relationship. In theory, index arbitrage is riskless, but we describe how it is affected in practice by transactions costs, execution risk, capital and short sales constraints, and the possibility of unwinding profitable trades before futures expiration. We end with a discussion of the impact of index futures and arbitrage on the volatility of the underlying stock market. | en |
dc.language.iso | en_US | en |
dc.relation.ispartofseries | FIN-94-023 | en |
dc.title | Program Trading and Stock Index Arbitrage | en |
dc.type | Working Paper | en |
Appears in Collections: | Finance Working Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
wpa94023.pdf | 1.72 MB | Adobe PDF | View/Open |
Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.