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...
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Veröffentlicht in: | Quarterly journal of finance and accounting 2008-03, Vol.47 (2), p.3-16 |
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container_title | Quarterly journal of finance and accounting |
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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. |
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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. 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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.</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&P 500 index provide a unique laboratory for assessing the degree to which institutional versus individual investors capitalize on available arbitrage opportunities. 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ispartof | Quarterly journal of finance and accounting, 2008-03, Vol.47 (2), p.3-16 |
issn | 1939-8123 |
language | eng |
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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 |
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