Journal of Financial Economics Vol. 23 No. 2 1989
The behavior of prices in the Nikkei spot and futures market
Abstract
We examine the relation between the prices of Japanese stocks traded on the Tokyo Stock Exchange (TSE) as reflected in the Nikkei Stock Average (NSA) stock index and the prices of the NSA futures contract traded on the Singapore International Monetary Exchange (SIMEX). Since the inception of trading in September 1986, the NSA futures contract has generally sold at a discount relative to its theoretical value. Trading restrictions and transaction costs may explain some of this mispricing, which has been declining over time, as in the U.S. markets.
- DOI
- 10.1016/0304-405x(89)90063-9
- Volume
- 23
- Issue
- 2
- Pages
- 363-383
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref