Intraday and Night Index Arbitrage

The changes to the S&P 500 index provide a unique laboratory for assessing the degree to which institutional versus individual investors capitalize on available arbitrage opportunities. We provide new evidence on the S&P 500 game using intraday data and examining the role of institutional versus individual investors in both open hours and after-hours trading. Using a sample of 135 changes to the S&P 500 index, we find the highest returns from the S&P game are obtained by investors who enter the game at the beginning of the after-hours session of the announcement date. Profits from arbitrage remain even after accounting for the bid-ask spread.