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DAX INDEX FUTURES: MISPRICING AND ARBITRAGE IN GERMAN MARKETS.

Authors :
Buhler, Wolfgang
Kempf, Alexander
Source :
Journal of Futures Markets; Oct95, Vol. 15 Issue 7, p833-859, 27p, 4 Charts, 1 Graph
Publication Year :
1995

Abstract

Discusses a study on the price relation between the German stock performance index, DAX, and DAX futures. No dividend risk; Relationship cannot be described by the cost-of-carry model; Undervaluation of futures contracts with time to maturity; Lower risk as contract nears maturity.

Subjects

Subjects :
STOCK index futures
FUTURES

Details

Language :
English
ISSN :
02707314
Volume :
15
Issue :
7
Database :
Complementary Index
Journal :
Journal of Futures Markets
Publication Type :
Academic Journal
Accession number :
9510133912
Full Text :
https://doi.org/10.1002/fut.3990150706
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