Mispricing in stock index futures contracts: evidence for the FTSE 100 and FTSE mid 250 contracts

Darren Butterworth and Phil Holmes

Applied Economics Letters, 2000, vol. 7, issue 12, 795-801

Abstract: This paper investigates the pricing efficiency of the FTSE 100 and FTSE mid 250 index futures contracts traded in the UK. The results show that while there are many deviations from fair value, these are generally quite small in magnitude with both contracts tending to be efficiently priced. Although mispricings are larger and more persistent for the mid 250 contract than for the FTSE 100 contract, this is consistent with the larger transactions costs and difficulties associated with trading the illiquid constituents of the mid 250 index.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:7:y:2000:i:12:p:795-801

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/135048500444822

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().