Intraday and night index arbitrage.: An article from: Quarterly Journal of Finance and Accounting

This digital document is an article from Quarterly Journal of Finance and Accounting, published by University of Nebraska-Lincoln on March 22, 2008. The length of the article is 7001 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available immediately after purchase. You can view it with any web browser.

From the author: The changes to the S&P 500 index provide a unique laboratory for assessing the degree to which institutional versus individual investors capitalize on available arbitrage opportunities. We provide new evidence on the S&P 500 game using intraday data and examining the role of institutional versus individual investors in both open hours and after-hours trading. Using a sample of 135 changes to the S&P 500 index, we find the highest returns from the S&P game are obtained by investors who enter the game at the beginning of the after-hours session of the announcement date. Profits from arbitrage remain even after accounting for the bid-ask spread.

Citation Details
Title: Intraday and night index arbitrage.
Author: Chun I. Lee
Publication:Quarterly Journal of Finance and Accounting (Magazine/Journal)
Date: March 22, 2008
Publisher: University of Nebraska-Lincoln
Volume: 47 Issue: 2 Page: 3(14)

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