Three essays on the dynamic relationships between index futures and individual cash assets
In a perfect market with no limit on arbitrage, the price movements or returns of an index futures contract must be perfectly and positively correlated with those of the underlying cash index and the component stocks of the index. However, transaction costs, capital limits and regulatory restriction...
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| Format: | Others |
| Language: | English |
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HKBU Institutional Repository
2015
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| Online Access: | https://repository.hkbu.edu.hk/etd_oa/154 https://repository.hkbu.edu.hk/cgi/viewcontent.cgi?article=1153&context=etd_oa |