Identifying arbitrage opportunities on SIBEX market

Maria-Miruna Pochea and Angela-Maria Filip
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Angela-Maria Filip: „Babes-Bolyai” University, Cluj Napoca

Finante - provocarile viitorului (Finance - Challenges of the Future), 2012, vol. 1, issue 14, 121-130

Abstract: The principle of non arbitrage is regarded as a golden rule in financial theory, often representing the starting point in testing market efficiency. In this paper we intend to identify all the cash and carry arbitrage opportunities existing for the DESIF5 futures contract on Sibex during the 3rd of January 2005 and August 26, 2011. Therefore, it is necessary to determine the theoretical futures price and to compare it with the actual futures price. As mentioned already, the main issue that must be considered when initiating an arbitrage is the presence of transaction costs which could dramatically diminish the expected gain. The identification of arbitrage opportunities on the market is a clear sign of the fact that the market is inefficient.

Keywords: arbitrage opportunities; futures price; options (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:aio:fpvfcf:v:1:y:2012:i:14:p:121-130

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