The ex ante profitability of index arbitrage in the new Finnish markets

Vesa Puttonen

Scandinavian Journal of Management, 1993, vol. 9, issue Supplement 1, S117-S127

Abstract: This paper examines the efficiency of the relatively new Finnish futures market. Firstly, the relevant aspects of prior studies are incorporated into the futures pricing model. Large and persistent violations of the arbitrage conditions are reported in the empirical tests. The results from ex ante tests suggest that restrictions on trading, particularly related to selling stocks, are an important factor affecting the arbitrage process in the Finnish markets.

Keywords: Finance; index; futures; arbitrage (search for similar items in EconPapers)
Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/095652219390011G
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:scaman:v:9:y:1993:i:supplement1:p:s117-s127

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/journaldescription.cws_home/872/bibliographic
http://www.elsevier. ... me/872/bibliographic

Access Statistics for this article

Scandinavian Journal of Management is currently edited by Janne Tienari

More articles in Scandinavian Journal of Management from Elsevier
Bibliographic data for series maintained by Catherine Liu ().