The Pricing of Australian Index Futures Contracts with Taxes and Transaction Costs

Garry J. Twite
Additional contact information
Garry J. Twite: Australian Graduate School of Management, The University of New South Wales, Sydney NSW 2052, E†mail. gtwite@agsm.unsw edu au

Australian Journal of Management, 1998, vol. 23, issue 1, 57-81

Abstract: This paper examines the pricing behaviour of the Australian share price index futures contracts, incorporating taxes and transaction costs. The Australian SPI futures contract provides an interesting research setting to investigate futures pricing because of the combination of a relatively liquid futures market and a broadly based index portfolio with significant transaction costs, together with a tax system which differentiates between trades in the spot and the futures markets for at least one class of investors. The results presented are consistent with the existence of transaction costs as an explanation for the divergence between observed futures prices and predicted prices. The observed futures prices generally lay within the estimated transaction cost bounds.

Keywords: ARBITRAGE; SPI FUTURES; TRANSACTION COSTS (search for similar items in EconPapers)
Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/031289629802300104 (text/html)

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:sae:ausman:v:23:y:1998:i:1:p:57-81

DOI: 10.1177/031289629802300104

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications ().