Price Efficiency of Stock Index Futures Contracts: Are There Any Arbitrage Opportunities?
نویسنده
چکیده
A futures contract is an agreement between a seller and a buyer that calls for the seller to deliver to the buyer a specified quantity and grade of an identified commodity, at a fixed time in the future, and at a price agreed in the contract. Stock index futures contract specify an equity index as the underlying asset. Arbitrage opportunity exists when the actual futures price deviates from the fair price by more than transactions costs. This study measures the arbitrage opportunities on the daily FKL1 contracts price from calendar years 1996 through 1999. The pricing efficiency of the futures contracts was determined by the standard error between the closing actual and theoretical fair values for each month FKL1 futures contract, where the theoretical value was estimated using the cost-of-carry model. The findings show that the actual futures prices do not converge towards theoretical prices with the passage of time. Arbitrage opportunities are Price Efficiency of Stock Index Futures Contracts
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