Arbeitspapier
Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash
We use a cost of carry model with nonzero transactions costs to motivate estimation of a nonlinear dynamic relationship between the S&P 500 futures and cash indexes. Discontinuous arbitrage suggests that a threshold error correction mechanism may characterize many aspects of the relationship between the futures and cash indexes. We use minute-by-minute data on the S&P 500 futures and cash indexes. The results indicate that nonlinear dynamics are important and related to arbitrage and suggest that arbitrage is associated with more rapid convergence of the basis to the cost of carry than would be indicated by a linear model.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 95-17
- Classification
-
Wirtschaft
- Subject
-
Arbitrage
Futures
Stock market
- Event
-
Geistige Schöpfung
- (who)
-
Gerald P. Dwyer, Jr.
Locke, Peter
Yu, Wei
- Event
-
Veröffentlichung
- (who)
-
Federal Reserve Bank of Atlanta
- (where)
-
Atlanta, GA
- (when)
-
1995
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Gerald P. Dwyer, Jr.
- Locke, Peter
- Yu, Wei
- Federal Reserve Bank of Atlanta
Time of origin
- 1995
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