The behavior of prices in the Nikkei spot and futures market

Menachem Brenner*, Marti G. Subrahmanyam, Jun Uno

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

69 Citations (Scopus)


We examine the relation between the prices of Japanese stocks traded on the Tokyo Stock Exchange (TSE) as reflected in the Nikkei Stock Average (NSA) stock index and the prices of the NSA futures contract traded on the Singapore International Monetary Exchange (SIMEX). Since the inception of trading in September 1986, the NSA futures contract has generally sold at a discount relative to its theoretical value. Trading restrictions and transaction costs may explain some of this mispricing, which has been declining over time, as in the U.S. markets.

Original languageEnglish
Pages (from-to)363-383
Number of pages21
JournalJournal of Financial Economics
Issue number2
Publication statusPublished - 1989 Aug
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Strategy and Management


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