Richie, Nivine; Daigler, Robert T.; Gleason, Kimberly C. - In: Journal of Futures Markets 28 (2008) 12, pp. 1182-1205
This study examines factors affecting stock index spot versus futures pricing and arbitrage opportunities by using the S&P 500 cash index and the S&P 500 Standard and Poor's Depository Receipt (SPDR) Exchange‐Traded Fund (ETF) as “underlying cash assets.” Potential limits to arbitrage when...