Stock index futures arbitrage in Finland: Theory and evidence in a new market
This paper examines the pricing of stock index futures contracts on the new Finnish market. The striking feature of the Finnish market is that there is no institutional framework for short selling of stocks. This has been suggested to be the most important reason for the underpricing futures contrac...
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| Veröffentlicht in: | European journal of operational research 1993-08, Vol.68 (3), p.304-317 |
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| container_title | European journal of operational research |
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| creator | Puttonen, Vesa |
| description | This paper examines the pricing of stock index futures contracts on the new Finnish market. The striking feature of the Finnish market is that there is no institutional framework for short selling of stocks. This has been suggested to be the most important reason for the underpricing futures contracts. Persistent mispricing would, however, imply that also early and delayed unwindings have value, which increases the arbitrage profits. Several rollover profits are reported in this study. This suggest that current stock owners have not yet begun trading on the Finnish futures market on a large scale. |
| doi_str_mv | 10.1016/0377-2217(93)90187-R |
| format | Article |
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Management science</subject><subject>Portfolio theory</subject><subject>Securities markets</subject><subject>Statistical analysis</subject><subject>Stock exchanges</subject><subject>Stock index futures</subject><subject>Stock prices</subject><issn>0377-2217</issn><issn>1872-6860</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1993</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNp9UV1rFDEUDaLgWv0HPgQRaR_G5muSiQ9CKdYPKkKtzyGT3LHZ7s6sycza_ffe6ZZ98KGBmxNyzz2cnBDymrP3nHF9yqQxlRDcHFt5YhlvTHX1hCwQRaUbzZ6SxYHynLwoZckY4zWvF-T7z3EItzT1Ee5oN41ThkJ9btOY_W_Ae3qR-pXv4wd6fQND3lE8U9imCH2473vaw1-69vkWxpfkWedXBV494BH5dfHp-vxLdfnj89fzs8sq1MyOlQGtWt6BNz4KE6PuuK1l62WwTOvWaq8ieIs9E2W0QkrR1q2NLagogozyiLzb627y8GeCMrp1KgFWaBSGqTiuTc2tqJH45j_icphyj96cYIqLRmmDJLUnhTyUkqFzm5zwQTvHmZsDdnN6bk7PWenuA3ZXOPZtP5ZhA-EwA7iWA8botk563eC2w-IWR6VPWDNuZmTKSdS8Gdco9vbBqC_Br7rs-5DKQVQ1da2lQtrHPQ0w3W2C7EpI80_ElCGMLg7pcdP_AMdwp5g</recordid><startdate>19930813</startdate><enddate>19930813</enddate><creator>Puttonen, Vesa</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Sequoia S.A</general><scope>IQODW</scope><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>7SC</scope><scope>7TB</scope><scope>8FD</scope><scope>FR3</scope><scope>JQ2</scope><scope>L7M</scope><scope>L~C</scope><scope>L~D</scope><scope>7U1</scope><scope>7U2</scope><scope>C1K</scope></search><sort><creationdate>19930813</creationdate><title>Stock index futures arbitrage in Finland: Theory and evidence in a new market</title><author>Puttonen, Vesa</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c509t-7e64b1fea7ad27dd6f1953ba3c9066b96a4dea9d277d3d92332b5b9dbe4d2c3d3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1993</creationdate><topic>Applied sciences</topic><topic>Arbitrage</topic><topic>Exact sciences and technology</topic><topic>Finance</topic><topic>Futures</topic><topic>Operational research and scientific management</topic><topic>Operational research. Management science</topic><topic>Portfolio theory</topic><topic>Securities markets</topic><topic>Statistical analysis</topic><topic>Stock exchanges</topic><topic>Stock index futures</topic><topic>Stock prices</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Puttonen, Vesa</creatorcontrib><collection>Pascal-Francis</collection><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>Computer and Information Systems Abstracts</collection><collection>Mechanical & Transportation Engineering Abstracts</collection><collection>Technology Research Database</collection><collection>Engineering Research Database</collection><collection>ProQuest Computer Science Collection</collection><collection>Advanced Technologies Database with Aerospace</collection><collection>Computer and Information Systems Abstracts Academic</collection><collection>Computer and Information Systems Abstracts Professional</collection><collection>Risk Abstracts</collection><collection>Safety Science and Risk</collection><collection>Environmental Sciences and Pollution Management</collection><jtitle>European journal of operational research</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Puttonen, Vesa</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Stock index futures arbitrage in Finland: Theory and evidence in a new market</atitle><jtitle>European journal of operational research</jtitle><date>1993-08-13</date><risdate>1993</risdate><volume>68</volume><issue>3</issue><spage>304</spage><epage>317</epage><pages>304-317</pages><issn>0377-2217</issn><eissn>1872-6860</eissn><coden>EJORDT</coden><abstract>This paper examines the pricing of stock index futures contracts on the new Finnish market. 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| fulltext | fulltext |
| identifier | ISSN: 0377-2217 |
| ispartof | European journal of operational research, 1993-08, Vol.68 (3), p.304-317 |
| issn | 0377-2217 1872-6860 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_16751925 |
| source | RePEc; Access via ScienceDirect (Elsevier) |
| subjects | Applied sciences Arbitrage Exact sciences and technology Finance Futures Operational research and scientific management Operational research. Management science Portfolio theory Securities markets Statistical analysis Stock exchanges Stock index futures Stock prices |
| title | Stock index futures arbitrage in Finland: Theory and evidence in a new market |
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