Arbitrage Opportunities In Kuala Lumpur Composite Index (KLCI) And Its Futures
| dc.contributor.author | Chin Leong, Chooi | |
| dc.date.accessioned | 2016-11-24T03:11:18Z | |
| dc.date.available | 2016-11-24T03:11:18Z | |
| dc.date.issued | 1997-10 | |
| dc.description.abstract | Many researchers have found that the stock index futures were not very efficient in their early trading periods but became highly efficient when those markets matured. This phenomenon was seen in the US as well as Japan. If the market is not efficient, the pricing of the stock index futures will violate the cost-of-carry model and thus arbitrage opportunities will become available. Since the KLCI futures market is relatively new, the study aims to investigate whether this phenomenon is seen in KLC} futures and whether arbitrage opportunities are available for risk-free profits when transaction costs are taken into consideration. This study which covers the period from December 1995 to July 1997 showed that the deviations from the fair price were within the no-arbitrage bounds constructed based on the transaction costs. This implies that the KLCI futures is efficient and arbitrage opportunities are not available. The results are contrary to what was observed during the early trading periods in the US and Japan markets. Besides, the results also support the hypothesis that the KLCI futures fit the cost-of-carry model when transaction costs are taken into consideration. | en_US |
| dc.identifier.uri | http://hdl.handle.net/123456789/3207 | |
| dc.subject | Kuala Lumpur Composite Index (KLCI) | en_US |
| dc.title | Arbitrage Opportunities In Kuala Lumpur Composite Index (KLCI) And Its Futures | en_US |
| dc.type | Thesis | en_US |
Files
License bundle
1 - 1 of 1
Loading...
- Name:
- license.txt
- Size:
- 1.71 KB
- Format:
- Item-specific license agreed upon to submission
- Description: