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• W207331567 abstract "INTRODUCTION The purpose of this research is to gain insights on the extent intraday stock index arbitrage activity in the Japanese financial markets, and in particular, to assess the ability of futures mispricings, lagged futures price changes and lagged cash index value changes to predict intraday stock price changes in the Nikkei 225 Stock Index. Results will be examined and contrasted with parallel studies on U.S. index futures and cash prices. Index arbitrage entails massive intraday transactions involving stock indexes and their corresponding futures. Short term supply and/or demand imbalances in the traded equities comprising the indexes may result thus impacting the intraday price changes of the underlying stocks. Regarding the Japanese financial markets, prior to 1989, there was virtually no index arbitrage futures trading involving the Tokyo Exchange. However, such arbitrage activity increased significantly in 1990 and 1991.(1) Understanding the behavior and intraday price effects of futures and cash index trading in different world markets is of great significance to brokerage houses, investors, portfolio managers, regulators, legislators and the major global stock and futures exchanges. The relevant literature is discussed in Section 2. Section 3 covers the research and the data base used in the study while the results are analyzed in Section 4. Section 5 reports the principal conclusions. RELATED LITERATURE Studies describing the theoretical pricing of stock index futures and the relevant trading boundaries of index arbitrage in-clude works by Cornell and French (1983a, 1983b), Figlewski (1984a, 1984b), Modest and Sundaresan (1983) and Stoll and Whaley (1987). Cumulatively, their research suggests that the theoretical prices of stock index futures should reflect interest earned and dividends foregone. Early empirical research to determine any predictive information in the intraday relationship between stock index futures and the underlying index includes studies by Kawaller, P. Koch and T. Koch (1987), Finnerty and Park (1987), Herbst, McCormack, and West (1987), Stoll and Whaley (1983a), Laatsch ad Schwarz (1988) and Swinnerton, Curcio and Bennett (1988). The above authors, using diverse empirical research designs, found that lagged futures returns are strong leading indicators of the subsequent intraday price movements in their underlying indexes. Stoll and Whaley (1988a, 1988b) explain that index futures perform a price discovery role, while Swinnerton, Curcio and Bennett (1988) found futures mispricings (the trigger points of stock index arbitrage program trading), to be modest predictors of intraday stock price changes. Overpriced futures were found to be somewhat stronger predictors of intraday pricing relationship between futures and their underlying indexes has been conducted on U.S. stock and futures data. It is believed that a more complete understanding of the effects of index arbitrage on intraday stock price changes could be obtained by ex amining the Japanese markets, in particular because of their major status (Lake (1990) and because of different and changing institutional restrictions, offer substantial research opportunities. Brenner, Subrahmanyam and Uno (1989a, 1989b and 1990) empirically examined closing prices on the Japanese futures and stock markets and found evidence of arbitrageable mispricings of the stock index futures contracts. These results, however, provide little insight on intraday arbitrage activity and effects. Other research on the Japanese futures and stock markets include Kunimura (1990) who compared performance between the Nikkei 225 stocks and non-Nikkei (highly volatile) stocks, Bailey (1989) who discussed some historical and institutional details of the Nikkei 225 and OSF 50 futures markets and conducted correlation tests for price changes and futures volume, and Lake (1990) who traced the evolution of stock index futures trading in Japan. …" @default.
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• W207331567 date "1995-04-01" @default.
• W207331567 modified "2023-09-24" @default.
• W207331567 title "Index Arbitrage in the Japanese Stock Market" @default.
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