Year: 1993
Author: Bamberg, Günter, Röder, Klaus
Credit and Capital Markets – Kredit und Kapital, Vol. 26 (1993), Iss. 4 : pp. 575–607
Abstract
Arbitrage on the DAX Futures Market under Tax Considerations
This paper studies the ex-ante intra-day efficiency of the DAX futures market since the very introduction of this contract at the German Futures Exchange. This study incorporates all transaction data pertaining to the DAX futures contract and the DAX values before 31 December 1991 calculated every minute at Deutsche Wertpapierbörse. The DAX futures evaluation model takes account of different rates of tax applicable to private investors, of transaction costs, response times and the modalities of calculating the DAX index by the cost-of-carry method. The paper discusses the existence and, where appropriate, the width of a “market canal” which indicates an arbitrage-free zone. The results do, inter alia, not indicate that the efficiency of this market has increased over time.
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.26.4.575
Credit and Capital Markets – Kredit und Kapital, Vol. 26 (1993), Iss. 4 : pp. 575–607
Published online: 1993-04
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 33
Author Details
-
Intraday-Volatilität und Expiration-Day-Effekte am deutschen Aktienmarkt
Klaus, Röder,
Günter, Bamberg,
Credit and Capital Markets - Kredit und Kapital, Vol. 29 (1996), Iss. 2 P.244
https://doi.org/10.3790/ccm.29.2.244 [Citations: 0]
-
Brennan, M./Schwartz, E. (1987): Optimal Arbitrage Strategies under Basis Variability, in: Sarnat, M., ed.: Essays in Financial Economics, Amsterdam, 1987, S. 167 - 179.
Google Scholar -
Brennan, M./Schwartz, E. (1990): Arbitrage in Stock Index Futu res, Journal of Business, Vol. 63, 1990, S. 7 - 32.
Google Scholar -
Bröker, K. (1991): Neue DTBProdukte, Anlage Praxis, 1991, S. 20 - 21.
Google Scholar