TAILIEUCHUNG - Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

Many of the opportunities identified in this document will be unlocked through the outcome of franchise competitions. The large number of franchises going into the market over the next two years will provide much greater certainty and clarity going forward as bidders seek to deliver affordable and efficient solutions to meet the requirements of passengers and funders. This work builds on that undertaken by ATOC for the IIP1 , and is designed as an early input into the proposed national rolling stock strategy, outlined in Measure 3 of ATOC’s ‘Rolling Stock and Value for Money’ Discussion Paper dated December 2011 | 11 Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices The spectacular growth in the volume of trading in stock index futures contracts reveals the interest in these instruments that is shared by a broad cross section of market participants. It is generally agreed that the linkage in prices between the underlying basket of stocks and the futures is maintained by arbitrageurs. If this link is maintained effectively then investors who are committed to trade will recognize these markets as perfect substitutes and their choice between these markets will be dictated by convenience and their transaction costs. However researchers have reported substantial and sustained deviation in futures prices from their theoretical values indeed Rubinstein 1987 p. 84 concludes that The growth in index futures trading continues to outstrip the amounts of capital that are available for arbitrage. Considerable attention has been focused on arbitrage strategies involving stock index futures and on their effects on markets especially on the expiration dates of these contracts. By contrast there is little work on the stochastic behavior of the deviation of futures prices from fair values. In this chapter we study transaction data on Standard Poor s 500 futures contracts in conjunction with minute-by-minute quotes of the s p 500 index. Our goal is to examine the behavior of these prices in light of the conventional arbitrageur s strategies. It should be emphasized at the outset that it is extremely difficult to specify a model for the deviations of futures prices from fair values. These deviations are presumably affected by the flow of orders as well as by the difference of opinion among participants regarding parameters of the valuation model that provides fair values. It is well known that the conventional strategies pursued by arbitrageurs to take advantage of these deviations are not risk-free and are influenced further by the transaction costs they involve. The .

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