Index Arbitrage and Stock Price Volatility

This paper examines a particular type of financial derivative -- stock index futures contracts. Specifically, it discusses how these contracts are used to trade between the spot and futures markets for stocks and the claim that the prices of stock shares (the instruments underlying this derivative) have become more volatile since stock index futures were first introduced.

Provided by: Chicago Mercantile Exchange Holdings Topic: Software Date Added: Jan 2003 Format: PDF

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