The pricing of Australian index futures contracts with taxes and transaction costs.: An article from: Australian Journal of Management

This digital document is an article from Australian Journal of Management, published by Australian Graduate School Of Management on June 1, 1998. The length of the article is 8984 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the supplier: Analysis of transaction costs provides a reliable explanation for observation and forecast variation in the Australian share price index. In futures contracts, observed prices and predicted prices diverged according to estimated bounds of transaction costs. These results hold despite a comparatively liquid futures market and significant transaction costs.

Citation Details
Title: The pricing of Australian index futures contracts with taxes and transaction costs.
Author: Garry J. Twite
Publication:Australian Journal of Management (Refereed)
Date: June 1, 1998
Publisher: Australian Graduate School Of Management
Volume: v23 Issue: n1 Page: p57(25)

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