Add to ORKGThis study explores arbitrage opportunities in Deliverable Futures Contracts (DFC) that arise due to mispricing and also examines the factors affecting it. The cost of carry model is used to calculate the fair prices of futures. Mispricing is taken as a direct measure of ar- bi trage opportunities. With one - year daily data, collected from data portal of Pakistan Stock Exchange, mispricing is calculated in DFCs on 22 stocks. Summary statistics of mispricing confirms the presence of arbitrage opportunities in selected stocks. Random Effect Tobit regression results indicate that time to contract expiry, volatility in underlying stock, trading volume of ready market, and trading volume of future market significantly explain mispricin
This paper examines the mispricing of Australian stock index futures. Exogenous and endogenous price...
This study is an empirical investigation of the pricing efficiency of Malaysia's interest rate futur...
This paper develops a comprehensive modified cost of carry model to study the mispricing of Nikkei 2...
This study explores arbitrage opportunities in Deliverable Futures Contracts (DFC) that arise due to...
A futures contract is an agreement between a seller and a buyer that calls for the seller to deliver...
In this study, we investigate the variations in the mispricing of futures in Nifty (benchmark index)...
A futures contract is defined as the agreement between two parties, which are the seller and the buy...
Previous studies investigated the profitability of stock index futures based on transaction price da...
This paper reports empirical evidence on stock index futures pricing based on about four years of sy...
With the advent of financial stock index futures contract in the early 1980s, the financial world h...
A futures contract is an agreement to buy or sell an asset at a future date at a price agreed upon ...
Essays examine the issue of market efficiency in futures markets. Chapter 1, "Capacity of the Equity...
This paper highlights the impact of short selling restrictions and early unwinding opportunities on ...
helpful comments and K.F. Wong for his capable research assistance. Previous studies investigated th...
This paper explores the relationship between currency futures and realised spot rates for the Indian...
This paper examines the mispricing of Australian stock index futures. Exogenous and endogenous price...
This study is an empirical investigation of the pricing efficiency of Malaysia's interest rate futur...
This paper develops a comprehensive modified cost of carry model to study the mispricing of Nikkei 2...
This study explores arbitrage opportunities in Deliverable Futures Contracts (DFC) that arise due to...
A futures contract is an agreement between a seller and a buyer that calls for the seller to deliver...
In this study, we investigate the variations in the mispricing of futures in Nifty (benchmark index)...
A futures contract is defined as the agreement between two parties, which are the seller and the buy...
Previous studies investigated the profitability of stock index futures based on transaction price da...
This paper reports empirical evidence on stock index futures pricing based on about four years of sy...
With the advent of financial stock index futures contract in the early 1980s, the financial world h...
A futures contract is an agreement to buy or sell an asset at a future date at a price agreed upon ...
Essays examine the issue of market efficiency in futures markets. Chapter 1, "Capacity of the Equity...
This paper highlights the impact of short selling restrictions and early unwinding opportunities on ...
helpful comments and K.F. Wong for his capable research assistance. Previous studies investigated th...
This paper explores the relationship between currency futures and realised spot rates for the Indian...
This paper examines the mispricing of Australian stock index futures. Exogenous and endogenous price...
This study is an empirical investigation of the pricing efficiency of Malaysia's interest rate futur...
This paper develops a comprehensive modified cost of carry model to study the mispricing of Nikkei 2...