The model most often used in empirically testing the pricing of share price index futures contracts is the no-arbitrage model. But this model is actually a forward, not a futures, pricing model. To apply the model to SPI futures, we must assume the equality of forward and futures prices. But the...

This paper examines the pricing behaviour of the Australian share price index futures contracts, incorporating taxes and transaction costs. The Australian SPI futures contract provides an interesting research setting to investigate futures pricing because of the combination of a relatively...

Empirical evidence on the pricing behaviour of options on index futures contracts traded on USA and UK futures markets reveals that pricing errors and implied volatility estimates differ systematically across exercise price and time to maturity. The introduction on 17 June 1985 of options on...

This paper studies the exposure of the stock prices of Australian gold-mining firms to changes in gold prices and the valuation effects of gold price exposure. Gold-mining firms have significant gold price exposure; the price of the average gold-mining stock moves 0.76% for each 1.00% change in...

This study examines the pricing behaviour of share price index futures contracts traded on the Australian market. Particularly, we investigate the relationship between futures prices and the no-arbitrage price predicted by the current spot prices. Consistent with similar studies of U.S. markets,...