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DAX-Future-Arbitrage

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Product Details

Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783790808599
Condition
New
Product Description

Fr den Erfolg des DAX-Futures als Risikomanagementinstrument ist es notwendig, da sich Preisbewegungen auf Futures- und Kassamarkt entsprechen und Fehlbewertungen zgig abgebaut werden. Hierfr sorgen Arbitrageure. Aufbauend auf einem theoretischen Bewertungsmodell des DAX-Futures, das die besondere Gestaltung des DAX bercksichtigt, wird unter Verwendung der neueren konometrischen Methode der Kointegrationsanalyse die tatschliche Bewertung und Preisentwicklung untersucht. Hierbei werden sowohl Transaktionskosten als auch Steuern einbezogen. Im Vergleich zum theoretischen Modell ist der DAX-Future im Mittel unterbewertet. Die momentane Fehlbewertung verschwindet nach wenigen Tagen. Bei der Preisfindung spielen beide Mrkte eine wichtige Rolle, wobei der Kassamarkt leicht dominiert.

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