The behavior of prices in the Nikkei spot and futures market

Menachem Brenner; Marti G. Subrahmanyam; Jun Uno

doi:10.1016/0304-405X(89)90063-9

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 journal › Article › peer-review

69 Citations (Scopus)

Abstract

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 language	English
Pages (from-to)	363-383
Number of pages	21
Journal	Journal of Financial Economics
Volume	23
Issue number	2
DOIs	https://doi.org/10.1016/0304-405X(89)90063-9
Publication status	Published - 1989 Aug
Externally published	Yes

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics
Strategy and Management

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The behavior of prices in the Nikkei spot and futures market

Abstract

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