Kee‐Hong Bae; Chan, Kalok; Yan‐Leung Cheung - In: Journal of Futures Markets 18 (1998) 7, pp. 743-763
Previous studies investigated the profitability of stock index futures based on transaction price data, and could overstate the frequency of arbitrage opportunities and size of arbitrage profits. This article obtains a data base for the Hong Kong index futures and index options market that...