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Applied Economics Letters Volume 7, 2000 - Issue 12
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Original Articles

Mispricing in stock index futures contracts: evidence for the FTSE 100 and FTSE mid 250 contracts

Darren Butterworth
&
Phil Holmes
Pages 795-801 | Published online: 06 Oct 2010

References

  • Bhatt , S. and Cakici , N. 1990 . Premiums on stock index futures: some evidence . Journal of Futures Markets , 10 : 367 – 375 .
  • Brenner , M. , Subrahmanyan , M. G. and Uno , J. 1989a . Stock index futures arbitrage in the Japanese markets . Japan and the Worm Economy , 1 : 303 – 330 .
  • Brenner , M. , Subrahmanyan , M. G. and Uno , J. 1989b . The behaviour of prices in the Nikkei spot and futures markets . Journal of Financial Economics , 23 : 363 – 384 .
  • Chung , Y. P. 1991 . A transactions data test of stock index futures market efficiency and index arbitrage profitability . Journal of Finance , 46 : 1791 – 1809 .
  • Cornell , B. and French , K. 1983 . The pricing of stock index futures . Journal of Futures Markets , 3 : 1 – 14 .
  • Figlewski , S. 1984 . Explaining the early discounts on stock index futures: the case for disequilbrium . Financial Analyst Journal , 40 : 43 – 67 .
  • Mackinlay , C. and Ramaswamy , K. 1988 . Index futures arbitrage and the behaviour of stock index futures prices . Review of Financial Studies , 1 : 137 – 158 .
  • Sofianos , G. 1993 . Index arbitrage profitability . Journal of Derivatives , 1 : 6 – 20 .
  • Stickland , C. and Xu , X. 1992 . Behaviour of the FTSE-100 basis . Review of Futures Markets , 12 : 459 – 502 .
  • Yadav , P. K. and Pope , P. F. 1990 . Stock index futures arbitrage: international evidence . Journal of Futures Markets , 10 : 573 – 604 .

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