Pricing of Futures Contracts on Coupon Bonds: Empirical Evidence from Finland
研究芬兰两年期债券期货市场的定价，发现期货合约在测试期间多数被低估，并检验期货市场对债券市场的预测能力，揭示两者间的领先滞后关系。
This paper investigates the pricing of the two year old Finnish bond futures market. We show that the market has mispriced the futures contracts during the test period with the futures contracts being underpriced most of the time. We also measure whether the futures market has prediction power over the bond market. Our results suggest that there is a lead‐lag relationship between the Finnish bond and the futures markets.