Concepedia

Index Arbitrage

Index arbitrage is a trading strategy that involves exploiting price discrepancies between a stock index futures contract and the underlying basket of equities to achieve risk-neutral profit through simultaneous buy and sell transactions.

143

Publications

7.5K

Citations

228

Authors

184

Institutions

Publications per year

2017–2026

17

Parents

Publications

143

Does Arbitrage Flatten Demand Curves for Stocks?

Jeffrey Wurgler, Ekaterina Zhuravskaya · The Journal of Business · 2002 · 933 citations

, , +15

Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

A. Craig MacKinlay, Krishna Ramaswamy · Review of Financial Studies · 1988 · 365 citations

, , +17

Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?

Merton H. Miller, Jayaram Muthuswamy, Robert E. Whaley · The Journal of Finance · 1994 · 315 citations

, , +15

Exchange traded funds and asset return correlations

Zhi Da, Sophie Shive · European Financial Management · 2017 · 257 citations

, , +15

EFFECTS OF INDEX‐FUND INVESTING ON COMMODITY FUTURES PRICES

James D. Hamilton, Jing Cynthia Wu · International Economic Review · 2015 · 241 citations

, , +17

1–5 of 143

Authors

228

  1. JK
    Joseph K. W. Fung

    Hong Kong Baptist University, Hong Kong SAR China

    8 publications · 185 citations

    8

    h-index

  2. MH
    Merton H. Miller

    University of Chicago, United States

    4 publications · 451 citations

    4

    h-index

  3. YP
    Y. Peter Chung

    University of California, Riverside, United States

    4 publications · 237 citations

    4

    h-index

  4. YT
    Yiuman Tse

    The University of Texas at San Antonio, United States

    3 publications · 95 citations

    3

    h-index

  5. RE
    Robert E. Whaley

    Vanderbilt University, United States

    3 publications · 590 citations

    3

    h-index

1–5 of 228

Institutions

184

  1. Hong Kong Baptist University

    Hong Kong, Hong Kong

    7 h-index

    9 publications

    183 citations

  2. University of Chicago

    Chicago, United States

    5 h-index

    5 publications

    297 citations

  3. New York University

    New York, United States

    5 h-index

    6 publications

    171 citations

  4. Columbia University

    New York, United States

    4 h-index

    6 publications

    185 citations

  5. UNSW Sydney

    Sydney, Australia

    4 h-index

    4 publications

    218 citations

  6. Department of Finance

    Parkes, Australia

    4 h-index

    5 publications

    330 citations

  7. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    3 h-index

    3 publications

    200 citations

  8. University of Pennsylvania

    Philadelphia, United States

    3 h-index

    3 publications

    41 citations

1–8 of 184

Venues

  1. Journal of Futures Markets

    24 publications · 958 citations

    20

    h-index

  2. SSRN Electronic Journal

    Repository · 15 publications · 533 citations

    13

    h-index

  3. The Journal of Finance

    7 publications · 723 citations

    8

    h-index

  4. The Journal of Business

    JB · 6 publications · 1.4K citations

    6

    h-index

  5. Financial Analysts Journal

    FAJ · 6 publications · 387 citations

    6

    h-index

1–5