A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability
利用成分股交易价格数据，考虑交易成本、执行延迟和卖空规则，检验芝加哥期货交易所主要市场指数期货的市场效率与指数套利盈利性，发现边界违规的规模和频率远小于早期研究且随时间显著下降。
ABSTRACT This paper investigates the efficiency of the market for stock index futures and the profitability of index arbitrage for The Chicago Board of Trade's Major Market Index contracts. The spot value of the index is computed with transactions prices for the component shares of the index obtained from the Fitch database. The tests account for transaction costs, execution lags, and the uptick rule for short sales of stocks. Results indicate that the size and frequency of boundary violations are substantially smaller than those reported by earlier studies and have declined sharply with time.