Stock index futures arbitrage in the Japanese markets☆
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Stock index futures arbitrage: Evidence from a meta-analysis
2019, International Review of Financial AnalysisCitation Excerpt :In the case of European markets, Yadav and Pope (1990) report mispricing in U.K., Bühler and Kempf (1995) for the German market, Stulz, Wasserfallen, and Stucki (1990) for the Swiss market, Puttonen (1993) for the Finnish market, Bialkowski and Jakubowski (2008) and Marcinkiewicz (2016) for the Polish market, Andreou and Pierides (2008) and Fassas (2011) for the Greek market and Berglund and Kabir (2003) for the Dutch market. In the case of Asian markets, there is evidence of mispricing in the Japanese market (Brenner, Subrahmanyam, & Uno, 1989a, 1989b; Chung, Kang, & Rhee, 2003; Lim, 1992), in the Hong Kong market (Fung & Draper, 1999; Fung & Lam, 2004), in the Taiwanese market (Lin, Lee, & Wang, 2013; Wang, 2010) and in the Indian market (Vipul, 2005). The research findings on the existence of mispricing, profitability of mispricing and factors affecting the level of mispricing are inconclusive.
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We thank S. Sundaresan, W. Ziemba and an anonymous referee for helpful comments. We are grateful to Nihon Keizai Shimbun Inc. for providing us with the data for the study.