7
Views
1
CrossRef citations to date
0
Altmetric
Original Article

An Investigation into the ManifestationOf Arbitrage Opportunities in SelectedSouth African Financial Markets

Pages 17-66 | Published online: 12 Feb 2021

References

  • Black, F and Scholes, M (1972): “The Valuation of Option Contracts and a Test of Market Efficiency”, The Journal of Finance, 27(2), May:399 - 417.
  • Boesky, I F (1985): Merger Mania. London: Redwood Burn Editors.
  • Bodie, Z, Kane, A and Marcus, A J (1999): Investments. 4th Edition. Boston: McGraw-Hill.
  • Chung, Y P (1991): “A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability”, Journal of Finance, 46(5), December:1791 - 1809.
  • Cornell, B and French, K R (1983): “Taxes and the Pricing of Stock Index Futures”, The Journal of Finance, 38(3), June:675 - 694.
  • Deardorff, A V (1979): “One-Way Arbitrage and its Implications for the Foreign Exchange Markets”, Journal of Political Economy, 87:351 - 364.
  • Fama, E (1965): “The Behaviour of Stock Market Prices”, Journal of Business, 38:34-105.
  • Figlewski, S (1989): “Hedging Performance and Basis Risk in Stock Index Futures”, Journal of Finance, 44(5):657 - 669.
  • Figlewski, S (1989): “Options Arbitrage in Imperfect Markets”, The Journal of Finance, 44(5), December:1289 - 1311.
  • Goodspeed, I (2002b): Introduction to Financial Markets. The South African Institute of Financial Markets - course material. December.
  • Grobbelaar, A (2003): “Head Forex Trading, Commodities and Sales at the ABSA Corporate and Merchant Bank Treasury”, Johannesburg: Personal interview, 6 June 2003.
  • Hilley, J L (1981): Why there is no Long Forward Market. Euromoney, January:95 - 103.
  • Lambrechts, N (2003): Remgro - In-Depth Report, Unpublished Analyst Report. Merrill Lynch Global Securities Research and Economics Group, June.
  • Lee, M C, Shleifer, A and Thaler, R H (1991): “Investor Sentiment and the Closed-End Fund Puzzle”, Journal of Finance, 44:76 - 110.
  • Levich, R M (1998): International Financial Markets. Boston: McGraw-Hill.
  • Malkiel, B (1977): “The Valuation of Closed-End Investment Company Shares”, Journal of Finance, 32: 847 - 859.
  • Neal, R (1996): “Direct Tests of Index Arbitrage Models”, Journal of Financial and Quantitative Analysis, 31(4), December:541-562.
  • Rhee, S G and Chang, R P (1992): Intra-Day Arbitrage Opportunities in Foreign Exchange and Eurocurrency Markets. Journal of Finance, 47(1), March:363 - 379.
  • Ross, S (1976): “The Arbitrage Theory of Capital Asset Pricing”, Journal of Economic Theory, 13:341 - 360.
  • Sharpe, W (1964): “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk”, Journal of Finance, 19:425 - 442.
  • Shleifer, A. and Vishny, R W (1997): “The Limits of Arbitrage”, The Journal of Finance, 52(1), March:35 - 55.
  • Stoll, H R (1969): “The Relationship between Put and Call Option Prices”, The Journal of Finance, 24(5), December:801-824.
  • Stoll, H R. and Whaley, R E (1990): “The Dynamics of Stock Index and Stock Index Futures Returns”, Journal of Financial and Quantitative Analysis, 25(4):December.
  • Sutcliffe, C M S (1997): Stock Index Futures. London: International Thomson Business Press.
  • Tuckman, B, Vila, J (1992): “Arbitrage with Holding Costs: A Utility Based Approach”, Journal of Finance, 47:1283 - 1302.
  • Walter, I and Smith, R (2000): High Finance in the Euro-Zone, London: Prentice-Hall.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.