The valuation of equity futures on the Tokyo stock exchange: 1920-1923

Toby Daglish; Lyndon Moore

doi:10.1002/fut.21560

The valuation of equity futures on the Tokyo stock exchange: 1920-1923

Toby Daglish, Lyndon Moore

Research output: Contribution to journal › Article › Research › peer-review

1 Citation (Scopus)

Abstract

The futures price of an asset should depend on the spot price of that asset, the interest rate, cash flows during the contract term, the convenience yield, and storage costs. Despite many tests of the spot-future relation for commodities in historical periods, there have been no tests of this historical relation for equities. We price single-stock equity futures on the Tokyo Stock Exchange between 1920 and 1923 and find that mispricing is considerably worse than in contemporary U.S. markets, after adjusting for (unavoidable) asynchronous data issues. The main cause of the mispricing is short-sales constraints, rather than investor naivety.

Original language	English
Pages (from-to)	601-628
Number of pages	28
Journal	Journal of Futures Markets
Volume	33
Issue number	7
DOIs	https://doi.org/10.1002/fut.21560
Publication status	Published - Jul 2013
Externally published	Yes

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The valuation of equity futures on the Tokyo stock exchange: 1920-1923

Abstract

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