Stock index futures arbitrage: Evidence from a meta-analysis

Jędrzej Białkowski and Devmali Perera

International Review of Financial Analysis, 2019, vol. 61, issue C, 284-294

Abstract: A number of empirical studies have focused on examining the stock index futures arbitrage. The reported results were not consistent and depended on a number of factors. Our study aims to review the literature on stock index futures arbitrage using meta-regression techniques. In particular, it aims to synthesize estimates on the existence of mispricing and on the relationship between mispricing and time to maturity. We do not find strong evidence on the publication bias in reported estimates on mispricing and estimates on the effect of time to maturity on mispricing. Finally, this study tests whether characteristics of data and publication determine the heterogeneity in the reported estimates on mispricing and time to maturity. The results suggest that these characteristics could explain these differences significantly.

Keywords: Cost-of-carry model; Index arbitrage; Meta-analysis; Publication bias (search for similar items in EconPapers)
JEL-codes: B41 G13 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:61:y:2019:i:c:p:284-294

DOI: 10.1016/j.irfa.2018.09.002

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