Since 2014
Analyzing the arbitrage opportunities and their determinants in deliverable future contracts: evidence from Pakistan
The Journal of Finance and Accounting Research
View Archive Info| Field | Value | |
| Title |
Analyzing the arbitrage opportunities and their determinants in deliverable future contracts: evidence from Pakistan
|
|
| Creator |
Chuhdary, Meriam
Ismail, Aisha |
|
| Description |
This study explores the arbitrage opportunities in Deliverable Future Contracts (DFC) due to mispricing and the factors affecting it. We use the cost of carry model to calculate the fair prices of futures. We use mispricing as a direct measure of arbitrage opportunities. With one-year daily data collected from the data portal of Pakistan Stock Exchange, we calculate mispricing for twenty-two stock futures. Summary statistics of mispricing confirm the presence of arbitrage opportunities in this market. We also examine the relationship of mispricing with the time to contract expiry, stock return volatility, the trading volume of ready and future market, and open interest. Tobit regression results indicate that apart from open interest, all other factors possess significant explanatory power for mispricing.
|
|
| Publisher |
Department of Finance, School of Business and Economics, University of Management and Technology, Lahore, Pakistan
|
|
| Date |
2019-08-30
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion |
|
| Format |
application/pdf
|
|
| Identifier |
https://ojs.umt.edu.pk/index.php/jfar/article/view/93
|
|
| Source |
Journal of Finance and Accounting Research; Vol 1 No 2 (2019): August; 94-121
2663-838X 2617-2232 10.32350/jfar/2019/0102 |
|
| Language |
eng
|
|
| Relation |
https://ojs.umt.edu.pk/index.php/jfar/article/view/93/42
|
|
| Rights |
Copyright (c) 2019 Meriam Chuhdary, Aisha Ismail
http://creativecommons.org/licenses/by/4.0 |
|