Search Results - subject:"Index Futures Mispricing"

Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025

Persistent link: https://www.econbiz.de/10015371777

Index futures mispricing : a multi-regime approach to the NIFTY 50 Index futures

Samarakoon, Kithsiri; Pradhan, Rudra Prakash - In: Managerial finance 50 (2024) 12, pp. 2091-2114

Persistent link: https://www.econbiz.de/10015199586

Index futures mispricing: a multi-regime approach to the NIFTY 50 Index futures

Samarakoon, Kithsiri; Pradhan, Rudra Prakash - In: Managerial Finance 50 (2024) 12, pp. 2091-2114

-regime model to understand the fluctuations in NIFTY 50 Index futures mispricing. Findings The study reveals a complex interplay … Regression (TVAR) models are deployed to disentangle the interrelationships between NIFTY 50 Index futures mispricing and related … endogenous determinants. Research highlights (1) This study investigates the Nifty 50 Index futures mispricing across three …

Persistent link: https://www.econbiz.de/10015353925

A DECOMPOSITION OF STOCK INDEX FUTURES MISPRICING AND THE PRICE EFFECT OF INDEX ARBITRAGE

Arjin, TUSHAJ; Valentina, SINAJ - In: Studies in Business and Economics 7 (2012) 2, pp. 184-196

The importance of the arbitrage theories and the notion of efficient evaluation for the usual market index give a strong motivation for an empirical analysis of the relationship between the current prices and lost future prices. This article developed an empirical system that attempts to...

Persistent link: https://www.econbiz.de/10010587898