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Abstract: Previous research concludes that stock index arbitrage provides risk-free profits on a consistent basis. However, these studies employed end of the day data and/or do not consider the effect of lags in the cash price on the results. This study examines potential stock index arbitrage opportunities by using five minute intervals for the S&P 500, MMI, and NYFE contracts. Realistic cost, interest rate, and dividend yield data are employed to provide reliable results. When only end of the day or... (Update)
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BibTeX entry: (Update)
@misc{ daigler-intraday,
author = "Robert T. Daigler",
title = "Intraday Stock Index Futures Arbitrage With Time Lag Effects",
url = "citeseer.ist.psu.edu/daigler90intraday.html" }
Citations (may not include all citations):4 Transaction Costs and the Small Firm Effect (context) - Stoll, Whaley - 1987
3 Program Trading and Expiration Day Effects (context) - pp, Stoll et al.
1 Investigation of a Lead-Lag Relationship Between Spot Stock .. (context) - pp, Herbst et al. - 1987
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