Understanding the cost of carry in Nikkei 225 stock index futures markets: mispricing, price and volatility dynamics

Understanding the cost of carry in Nikkei 225 stock index futures markets: mispricing, price and volatility dynamics

This dissertation studies the cost of carry relationship and the international dynamics of mispricing, price and volatility in the three Nikkei futures markets - the Osaka Exchange (OSE), the Singapore Exchange (SGX) and the Chicago Mercantile Exchange (CME). Previous research does not fully conside...

Full description

Saved in:
Bibliographic Details
Main Author: Jieye Qin
Format: Default Thesis
Published: 2017
Subjects:
Other economics not elsewhere classified
Nikkei 225 futures
Cost of carry relationship
Mispricing
Index arbitrage
Price discovery
Smooth transition
Heterogeneity
Volatility spillover
Cross-border information transmission
Dynamic conditional correlations
Futures market integration
Globalisation
Economics not elsewhere classified
Online Access:https://hdl.handle.net/2134/27424
Tags: Add Tag
No Tags, Be the first to tag this record!

Internet

https://hdl.handle.net/2134/27424

Similar Items