- Autor
- Białkowski Jędrzej, Jakubowski Jacek
- Tytuł
- Możliwości arbitrażu między rynkiem terminowym a kasowym dla kontraktów na WIG 20
- Źródło
- Rynek Terminowy, 2005, nr 1, s. 15-21
- Słowa kluczowe
- Terminowe rynki finansowe, Kontrakty futures, Rynek instrumentów pochodnych, Indeks giełdowy
Futures markets, Futures contracts, Derivatives market, Stock market indexes - Abstrakt
- W niniejszym artykule omówiono wyniki badania możliwości przeprowadzenia arbitrażu pomiędzy kontraktami futures na indeks WIG20 a rynkiem kasowym. Otrzymane rezultaty pozwalają uzyskać odpowiedź na kluczowe z punktu widzenia inwestora pytania np. ile procent spośród sygnałów do arbitrażu prowadzi do zysku ?
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu - Bibliografia
-
- Białkowski J., Jakubowski J., (2003) The Test of Market Efficiency and lndex Arbitrage Profitability on Emerging Polish Stock and Futures lndex Markets, Working Paper Series of Postgraduate Programme at European University Viadrina, 24.
- Białkowski J., Jakubowski J., (2004) The IndMdual Stocks Arbitrage: Evidence from Emerging Polish Market, Working Paper Series of Postgraduate Programme at European University Yiadrina, 9.
- Berglund, T., Kabir, R., 2003. What Explains the Difference between the Futures1 Price and its "Fair" Value? Evidence from the Euronext Amsterdam, Research in Banking and Finance, 3, 1-11.
- Brennan, M.J., Schwartz, E.S. 1990. Arbitrage in Stock lndex Futures, Journal of Business, 63, S7-S31.
- Brenner, M., Subrahmanyam, M.G., Dno, J., 1990. Arbitrage Opportunities in the Japanese Stock and Futures Markets., Financial Analysts Journal, 46,14 - 24.
- Brenner, M., Subrahmanyam, M.G., Uno, J., 1989. The Behavior of Prices in the Nikkei Spot and Futures Market, Journal of Financial Economics, 21,363-383,
- Buhler, W., Kempf, A., 1995. DAX lndex Futures: Mispricing and Arbitrage in German Markets, Journal of Futures Markets , 15, 833-859.
- Chung, Y.P. 1991. A Transition Data test of Stock lndex Futures Market Efficiency and lndex Arbitrage Profitability, Journal of Finance, 46, 1791-1809.
- Cornell, B., French, K. 1983. The Pricing of Stock lndex Futures, Journal of Futures Markets, 3, 1-14.
- Diamond, D.W., Verrecchia, R.E., 1987. Constraints on Short-Selling and Asset Price Adjustment to Private Information, Journal of Financial Economics, 18, 277-311.
- Figlewski, S. 1981. Hedging Performance and Bas/s Risk in Stock lndex Futures, Journal of Financial and Quantitative Analysis, 16, 463-475.
- Gould, F.J., 1988. Stock lndex Futures: The Arbitrage Cycle and Portfolio Insurance, Financial Analyst Journal, 48, 48-62.
- Kawaller, l.G., 1987. A Note: Debunking the Myth of the Risk-Free Return, Journal of Futures Markets, 7, 327-331.
- Kempf, A. 1998. Short Selling, Unwinding, and Mispricing, Journal of Futures Markets, 18,903-923.
- Klemkosky, R.C. and Lee, J.H. 1991. The Intraday Ex Post and Ex Ante Profitability of lndex Arbitrage, Journal of Futures Markets, 11, 291 -311.
- Lim, K. 1992. Arbitrage and Price Behavior of the Nikkei Stock lndex Futures, Journal of Futures Markets, 12, 151-162.
- Maciejewski, A., Mejszutowicz, K. 2003. Krótka Sprzedaż w Polsce - Mity i Rzeczywistość, Rynek Terminowy, 19, 7-21.
- MacKinlay, A.C. and Ramaswamy, K. 1988. Index-Futures Arbitrage and Behavior of Stock lndex Futures Prices, The Review of Financial Studies, 1,137-158.
- Miller, M., Muthuswamy, J. Whaley, R. 1994. Predictability of S&P 500 lndex Basis Changes: Arbitrage Induced or Statistical lllusion?, Journal of Finance, 49,479-514.
- Miller, E.M., 1977. Risk, Uncertainty, and Divergence of opinions, Journal of Finance, 32, 1151-1167.
- Modest, D.M., Sundaresan, M., 1983. The Relationship between Spot and Futures Prices in the Stock lndex Futures Market: Some Preliminary Evidence, Journal of Futures Markets 3, 15-41.
- Neal, R. 1996. Direct Tests of lndex Arbitrage Models, Journal of Financial and Qunatitative Analysis, 31, 541-562.
- Peters, E., 1985. The Growing Efficiency of lndex Futures Markets, Journal of Portfolio Management, Summer, 52-56.
- Puttonen, V., 1993. Stock index futures arbitrage in Finland: Theory and Evidance in a New Market, European Journal of Operational Research 68, 304-317.
- Puttonen, V., Martikainen, T., 1991. Short Sale Restrictions, Economics letters, 37,159-163.
- Rigobon, R., Sack, B., 2004. The impact of Monetary Policy on Asset Prices, Journal of Monetary Economics, forthcoming.
- Senchack Jr, A.J., Starks, L.T., 1993. Short-Sale Restrictions and Market Reactions to Short-lnterest Announcements, Journal of Financial and Qunatitive Analysis, 28, 177-194.
- Stawiarski B., 2004. Optymalny moment wykonania warrantów amerykańskich na indeksowe kontrakty futures, Rynek Terminowy, 24,113-119.
- Stulz, R., Wasserfallen, W., Stucki, T., 1990. Stock lndex Futures in Switzerland: Pricing and Hedging Performance, Review of Futures Markets, 9 (3), 576-592.
- Thorbecke, W. 1997. On Stock Market Returns and Monetary Policy, Journal of Finance, 52, 635-654.
- Yadev, P.K., Pope, P.F., 1990. Stock lndex Futures Arbitrage: International Evidence, Journal of Futures Markets 10, 573-603
- Cytowane przez
- ISSN
- 1508-972X
- Język
- pol
