Stock index futures arbitrage in emerging markets: Polish evidence

2008 ◽  
Vol 17 (2) ◽  
pp. 363-381 ◽  
Author(s):  
Jędrzej Białkowski ◽  
Jacek Jakubowski
Keyword(s):  
Emerging Markets ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures

Price Expectation and the Pricing of Stock Index Futures: Evidence from Developed and Emerging Markets

2006 ◽  
Vol 09 (04) ◽  
pp. 639-660 ◽  
Author(s):  
Janchung Wang ◽  
Hsinan Hsu
Keyword(s):  
Emerging Markets ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Futures Prices ◽  
Price Expectation ◽  
Index Futures ◽  
Cost Of Carry ◽  
The Cost ◽  
Better Than

This study examines how well the pricing model of Hsu and Wang (2004) explains the behavior of stock index futures prices for the developed markets (such as the S&P 500 index futures market) and the emerging markets (such as the Taiwan Futures Exchange (TAIFEX) Taiwan stock index futures market). It also compares the pricing performance of three alternative pricing models of stock index futures: the cost of carry model, the Hemler and Longstaff (1991) model, and the Hsu–Wang model. Overall, the Hsu–Wang model provides significantly better pricing performance than that of the cost of carry model in emerging markets with high degrees of imperfection. Moreover, this study also observes that the Hemler and Longstaff (1991) model performs better than the cost of carry model in estimating prices of the TAIFEX futures, suggesting that the incorporation of stochastic market volatility is beneficial to predict the TAIFEX futures prices.

Volatility and Trading Demands in Stock Index Futures

CFA Digest ◽  
2003 ◽  
Vol 33 (3) ◽  
pp. 101-102
Author(s):  
Frank T. Magiera
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures
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