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 ve...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Quarterly journal of finance and accounting 2008-03, Vol.47 (2), p.3-16
Hauptverfasser: Lee, Chun I., Gleason, Kimberly C., Madura, Jeff
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
container_end_page 16
container_issue 2
container_start_page 3
container_title Quarterly journal of finance and accounting
container_volume 47
creator Lee, Chun I.
Gleason, Kimberly C.
Madura, Jeff
description 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.
format Article
fullrecord <record><control><sourceid>gale_jstor</sourceid><recordid>TN_cdi_gale_infotracgeneralonefile_A188275737</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><galeid>A188275737</galeid><jstor_id>40473453</jstor_id><sourcerecordid>A188275737</sourcerecordid><originalsourceid>FETCH-LOGICAL-g1303-b90797d67c5ac9a2ed588d2f1ecd300ba854015c67dd1946015bc20429bc24633</originalsourceid><addsrcrecordid>eNptjUtLxDAQx3NQcF39CELxHkkyeR7L4qOw6EXPJU3SmKWbStqD--0NrMdlDr_h_5i5QhtqwGBNGdyg22U5ECKBarVBj11ei_X21Njsm_cUv9emyz78Nm0ZUrViuEPXo52WcP_PLfp6ef7cveH9x2u3a_c4UiCAB0OUUV4qJ6wzlgUvtPZspMF5IGSwWnBChZPKe2q4rPvgGOHMVHAJsEX4fDfaKfQpj3N972LIodhpzmFMVW6p1kwJBarmny7k6_hwTO5i4eFcOCzrXPqfko62nHpOuAIuAP4ALH9VNg</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype></control><display><type>article</type><title>Intraday and Night Index Arbitrage</title><source>JSTOR Archive Collection A-Z Listing</source><creator>Lee, Chun I. ; Gleason, Kimberly C. ; Madura, Jeff</creator><creatorcontrib>Lee, Chun I. ; Gleason, Kimberly C. ; Madura, Jeff</creatorcontrib><description>The changes to the S&amp;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&amp;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&amp;P 500 index, we find the highest returns from the S&amp;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.</description><identifier>ISSN: 1939-8123</identifier><language>eng</language><publisher>College of Business Administration of the University of Nebraska-Lincoln</publisher><subject>Analysis ; Arbitrage ; Index funds ; Investors ; Night tables ; Periodical indexing ; Price level changes ; Proportions ; Risk assessment ; Statistical significance ; Stock market indices ; Stocks ; Trade</subject><ispartof>Quarterly journal of finance and accounting, 2008-03, Vol.47 (2), p.3-16</ispartof><rights>Copyright 2008 University of Nebraska–Lincoln</rights><rights>COPYRIGHT 2008 Creighton University</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/40473453$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/40473453$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,780,784,803,58017,58250</link.rule.ids></links><search><creatorcontrib>Lee, Chun I.</creatorcontrib><creatorcontrib>Gleason, Kimberly C.</creatorcontrib><creatorcontrib>Madura, Jeff</creatorcontrib><title>Intraday and Night Index Arbitrage</title><title>Quarterly journal of finance and accounting</title><description>The changes to the S&amp;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&amp;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&amp;P 500 index, we find the highest returns from the S&amp;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.</description><subject>Analysis</subject><subject>Arbitrage</subject><subject>Index funds</subject><subject>Investors</subject><subject>Night tables</subject><subject>Periodical indexing</subject><subject>Price level changes</subject><subject>Proportions</subject><subject>Risk assessment</subject><subject>Statistical significance</subject><subject>Stock market indices</subject><subject>Stocks</subject><subject>Trade</subject><issn>1939-8123</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2008</creationdate><recordtype>article</recordtype><sourceid/><recordid>eNptjUtLxDAQx3NQcF39CELxHkkyeR7L4qOw6EXPJU3SmKWbStqD--0NrMdlDr_h_5i5QhtqwGBNGdyg22U5ECKBarVBj11ei_X21Njsm_cUv9emyz78Nm0ZUrViuEPXo52WcP_PLfp6ef7cveH9x2u3a_c4UiCAB0OUUV4qJ6wzlgUvtPZspMF5IGSwWnBChZPKe2q4rPvgGOHMVHAJsEX4fDfaKfQpj3N972LIodhpzmFMVW6p1kwJBarmny7k6_hwTO5i4eFcOCzrXPqfko62nHpOuAIuAP4ALH9VNg</recordid><startdate>20080322</startdate><enddate>20080322</enddate><creator>Lee, Chun I.</creator><creator>Gleason, Kimberly C.</creator><creator>Madura, Jeff</creator><general>College of Business Administration of the University of Nebraska-Lincoln</general><general>Creighton University</general><scope/></search><sort><creationdate>20080322</creationdate><title>Intraday and Night Index Arbitrage</title><author>Lee, Chun I. ; Gleason, Kimberly C. ; Madura, Jeff</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-g1303-b90797d67c5ac9a2ed588d2f1ecd300ba854015c67dd1946015bc20429bc24633</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2008</creationdate><topic>Analysis</topic><topic>Arbitrage</topic><topic>Index funds</topic><topic>Investors</topic><topic>Night tables</topic><topic>Periodical indexing</topic><topic>Price level changes</topic><topic>Proportions</topic><topic>Risk assessment</topic><topic>Statistical significance</topic><topic>Stock market indices</topic><topic>Stocks</topic><topic>Trade</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Lee, Chun I.</creatorcontrib><creatorcontrib>Gleason, Kimberly C.</creatorcontrib><creatorcontrib>Madura, Jeff</creatorcontrib><jtitle>Quarterly journal of finance and accounting</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Lee, Chun I.</au><au>Gleason, Kimberly C.</au><au>Madura, Jeff</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Intraday and Night Index Arbitrage</atitle><jtitle>Quarterly journal of finance and accounting</jtitle><date>2008-03-22</date><risdate>2008</risdate><volume>47</volume><issue>2</issue><spage>3</spage><epage>16</epage><pages>3-16</pages><issn>1939-8123</issn><abstract>The changes to the S&amp;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&amp;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&amp;P 500 index, we find the highest returns from the S&amp;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.</abstract><pub>College of Business Administration of the University of Nebraska-Lincoln</pub><tpages>14</tpages></addata></record>
fulltext fulltext
identifier ISSN: 1939-8123
ispartof Quarterly journal of finance and accounting, 2008-03, Vol.47 (2), p.3-16
issn 1939-8123
language eng
recordid cdi_gale_infotracgeneralonefile_A188275737
source JSTOR Archive Collection A-Z Listing
subjects Analysis
Arbitrage
Index funds
Investors
Night tables
Periodical indexing
Price level changes
Proportions
Risk assessment
Statistical significance
Stock market indices
Stocks
Trade
title Intraday and Night Index Arbitrage
url https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-07T11%3A39%3A24IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-gale_jstor&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Intraday%20and%20Night%20Index%20Arbitrage&rft.jtitle=Quarterly%20journal%20of%20finance%20and%20accounting&rft.au=Lee,%20Chun%20I.&rft.date=2008-03-22&rft.volume=47&rft.issue=2&rft.spage=3&rft.epage=16&rft.pages=3-16&rft.issn=1939-8123&rft_id=info:doi/&rft_dat=%3Cgale_jstor%3EA188275737%3C/gale_jstor%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_id=info:pmid/&rft_galeid=A188275737&rft_jstor_id=40473453&rfr_iscdi=true