Lead-lag relationship and carrying cost arbitrage : Japanese government bonds spot and futures markets
105 p.
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2014
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sg-ntu-dr.10356-575942023-05-19T07:23:08Z Lead-lag relationship and carrying cost arbitrage : Japanese government bonds spot and futures markets Chua Hwee Leng Theresa, Ho Pui Wing, Phua Lock Khoon Kang Choong Seok, Joseph Nanyang Business School DRNTU::Business::Finance 105 p. Our report provides an analysis of our research into two main issues: 1) The Arbitrage Principle In The Japanese Government Bond (JGB) Market and 2) Lead-Lag Relationship Between JGB Spot Prices And JGB Futures Prices With regard to the first issue, our research investigated the existence of an equilibrium between JGB futures and spot prices. We tested if the JGB futures and spot data deviated from the arbitrage principle: F=(S-I)exp(rt). Our research into the first issue revealed deviations of JGB spot and futures prices from the arbitrage principle. However, we cannot conclude the presence of arbitrage opportunities because transaction costs were not taken into account in the cost of carry model we used to test the arbitrage principle. BUSINESS 2014-04-07T10:49:36Z 2014-04-07T10:49:36Z 1997 1997 Final Year Project (FYP) http://hdl.handle.net/10356/57594 Nanyang Technological University application/pdf |
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DRNTU::Business::Finance Chua Hwee Leng Theresa, Ho Pui Wing, Phua Lock Khoon Lead-lag relationship and carrying cost arbitrage : Japanese government bonds spot and futures markets |
| description |
105 p. |
| author2 |
Kang Choong Seok, Joseph |
| author_facet |
Kang Choong Seok, Joseph Chua Hwee Leng Theresa, Ho Pui Wing, Phua Lock Khoon |
| format |
Final Year Project |
| author |
Chua Hwee Leng Theresa, Ho Pui Wing, Phua Lock Khoon |
| author_sort |
Chua Hwee Leng Theresa, Ho Pui Wing, Phua Lock Khoon |
| title |
Lead-lag relationship and carrying cost arbitrage : Japanese government bonds spot and futures markets |
| title_short |
Lead-lag relationship and carrying cost arbitrage : Japanese government bonds spot and futures markets |
| title_full |
Lead-lag relationship and carrying cost arbitrage : Japanese government bonds spot and futures markets |
| title_fullStr |
Lead-lag relationship and carrying cost arbitrage : Japanese government bonds spot and futures markets |
| title_full_unstemmed |
Lead-lag relationship and carrying cost arbitrage : Japanese government bonds spot and futures markets |
| title_sort |
lead-lag relationship and carrying cost arbitrage : japanese government bonds spot and futures markets |
| publishDate |
2014 |
| url |
http://hdl.handle.net/10356/57594 |
| _version_ |
1772826267195801600 |