کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963276 | 930289 | 2008 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Interest rate futures and forwards: Evidence from the sterling futures and FRA markets
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Interest rate futures and forwards: Evidence from the sterling futures and FRA markets Interest rate futures and forwards: Evidence from the sterling futures and FRA markets](/preview/png/963276.png)
چکیده انگلیسی
This paper examines the pricing of sterling interest rate futures and forward rate agreement (FRA) contracts using a unique high frequency data set. The futures/FRA differential is close to zero with narrow dispersion, yielding limited arbitrage opportunities when synchronous data are employed. These results compare favorably with those reported in prior studies using low frequency data and implied forward rates. I also find that the information flow between the futures and FRA markets is largely contemporaneous although the futures market dominates the information transmission process in the 3-month maturity.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 18, Issue 5, December 2008, Pages 399-412
Journal: Journal of International Financial Markets, Institutions and Money - Volume 18, Issue 5, December 2008, Pages 399-412
نویسندگان
Russell Poskitt,