Pricing of Futures Contracts on Coupon Bonds: Empirical Evidence from Finland

Jari Käppi

European Financial Management, 1997, vol. 3, issue 3, 321-332

Abstract: This paper investigates the pricing of the two year old Finnish bond futures market. We show that the market has mispriced the futures contracts during the test period with the futures contracts being underpriced most of the time. We also measure whether the futures market has prediction power over the bond market. Our results suggest that there is a lead‐lag relationship between the Finnish bond and the futures markets.

Date: 1997
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