This study examines how well the pricing model of Hsu and Wang (2004) explains the behavior of stock index futures prices for the developed markets (such as the S&P 500 index futures market) and the emerging markets (such as the Taiwan Futures Exchange (TAIFEX) Taiwan stock index futures...

This study presents empirical evidence related to futures pricing for the SGX FTSE Xinhua China A50 and HKEx H-share index futures markets. First, whether the costof-carry model can describe the relationship between index futures prices and underlying stock indexes is examined. As anticipated,...

There are numerous impediments to market efficiency and index arbitrage in real capital markets, including the uptick rule on short selling, execution risk, market impact costs, regulatory barriers, and capital constraints. Adopting and relaxing the uptick restriction in the Taiwan stock market...