While the logic behind arbitrage is to buy cheap and sell for more, it indeed is an important trading mechanism contributing to the innovation of true or fair asset value in the markets. Thus, by eliminating price differentiation and mispricing among the markets, arbitrage helps to achieve an efficiently and evenly distribution of resources which benefit the economy as a whole. An arbitrage position can be created on almost any transferrable assets. Since arbitrage is widely used in financial markets, it has been subject to various studies. Developments and product innovations in these markets provide new dimensions to arbitrage transactions. As a new investment instrument, index shares have been traded in financial markets only for a decade and are expected to contribute to arbitrage transactions. In this context, this paper examines the impact of index shares’ inception on the arbitrage relationship between the spot index and the index futures markets
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