Qin, Green & Sirichand 2019.pdf (3.01 MB)
Determinants of Nikkei futures mispricing in international markets: dividend clustering, currency risk, and transaction costs
journal contribution
posted on 2019-08-05, 12:45 authored by Jieye Qin, Christopher Green, Kavita SirichandKavita SirichandThis paper develops a comprehensive modified cost of carry model to study the mispricing of
Nikkei 225 index futures contracts traded in Osaka, Singapore and Chicago based on a new
19-year dataset. Using this improved model, we find that dividend clustering, currency risk
and transaction costs all play an essential role in the estimation of Nikkei mispricing. An
exponential smooth transition autoregressive (ESTAR)-GARCH model is used to describe the
international dynamics of Nikkei mispricing. The results indicate that generally mean
reversion in mispricing and limits to arbitrage are driven more by transaction costs than by
heterogeneous investors.
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School
- Business and Economics
Department
- Economics
Published in
Journal of Futures MarketsVolume
39Issue
10Pages
1269 - 1300Publisher
WileyVersion
- AM (Accepted Manuscript)
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© Wiley Periodicals, Inc.Publisher statement
This is the peer reviewed version of the following article: QIN, J., GREEN, C.J. and SIRICHAND, K., 2019. Determinants of Nikkei futures mispricing in international markets: dividend clustering, currency risk and transaction costs. Journal of Futures Markets, 39 (10), pp.1269-1300, which has been published in final form at https://doi.org/10.1002/fut.22038. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived VersionsAcceptance date
2019-06-01Publication date
2019-08-12Copyright date
2019ISSN
0270-7314eISSN
1096-9934Publisher version
Language
- en
Depositor
Dr Kavita SirichandUsage metrics
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