The international transmission of arbitrage information across futures markets
Bilson, Chris M; Brailsford, Tim; Evans, Twm
Description
The paper examines whether deviations from a domestic spot-futures relation, as identified through mispricing series in stock index futures, spillover international boundaries. Such spillovers suggest that information from a mispricing series in one market conveys a signal of similar mispricing in another market. In the presence of arbitrage traders and in the absence of market frictions, mispricing series should be independent across international boundaries. The study employs a VAR analysis...[Show more]
Collections | ANU Research Publications |
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Type: | Working/Technical Paper |
URI: | http://hdl.handle.net/1885/40595 |
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File | Description | Size | Format | Image |
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Workingpaper02-02.pdf | 97.43 kB | Adobe PDF |
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